These days we are having in Europe a Siberian cold wave. Here in Brussels it seems unlikely to stop snowing, and going out to shoot gets tougher. However, as an on-location shooter, I have developed preferences for certain gear that helps me keep relatively warm and comfortable while standing outside for a whole day.
First things first. Heat primarily escapes your body by your extremities, so it is important to maintain them as protected as possible.
This is specially important with our hands because they are our main physical tool. I use silk inner gloves because it is possible to use a camera or write with them on. Accompany them with fingerless wool gloves when handling is needed or Thinsulate gloves when don´t. You will find this stuff at mountain and climbing shops.
For the head I use a beanie hat because it has no annoying shades and it also covers your ears. With a scarf is all what you need in most occasions.
On my feet I use thermal socks and a good and impermeable pair of boots, because if they get wet the day is over. To achieve an extra impermeability I use a spray that is sold in most shoe stores.
In the body it is best to follow the three layers method. An inner layer in contact with the skin to keep you dry. For that purpose I use a second skin, you can buy them at climbing and outdoor activities stores, but never use cotton if you are going to make exercise. Generally I only use that on the trunk.
The second layer keeps you warm. A woolen sweater can be your best choice, and for the legs I use a pair of snowboarding trousers, providing the last two layers with the aspect of a pair of jeans. Because your appearance is also important, if shooting street photography you want to lay low, working with models you don´t want to look like a hillbilly perv.
The third layer isolates the body from the outside, something like a windstopper or Goretex, but while in the city I prefer treated leather or a trenchcoat.
There are also some gear that are really useful during winter.
Beginning with the camera, carry it always in a bag. Abrupt temperature changes can make condensation appear inside the lens and body, thus making it useless for a long time. Taking it out in a bag lets it acclimate to outer temperature slowly, and in a few minutes you are ready to shoot. The same applies when going back home.
You may also need a rain cover for your bag and some silica-gel.
It is important to carry extra batteries, because cold make them discharge quickly. You must carry them the closest possible to your body, in an inner pocket, so they keep warm.
A tripod heaters, a cover for your tripod´s legs, gives you extra comfort when using it.
An empty plastic bag, with a few holes it becomes a rain cover for your camera, and if things go really bad it gives an extra impermeability to your camera inside the bag.
Keep in mind they are usually metal, so they are going to be really cold.
I also use a keffiyeh (turbant) all year (most useful clothe ever), and an emergency blancket silver/orange if I´m going to the mountains.