Having just spend the entire winter in Europe - Nov - Feb in various countries including UK (England and Scotland), Netherlands, Switzerland, France, Italy ....etc, its pretty cold. I come from Australia and contrary to popular opinion it can get pretty cold down that way too and Australians are pretty familiar with camping and things like that so we have some great gear.
Merino thermal underwear is a great way to start. I lot of people will tell you to go for the polyurethane stuff, it isn't as worm and can make you sweat in a cold aggravated kind of way - they are kind of harder to find merinos that are 100% merino - be aware that a lot of the packs that say merino, have only a very small percentage of wool in them. Will socks are a must - merino again is great - you can pick these up in most outdoor stores.
I came to europe will all my high tech gear and froze! It was horrible, in the end I ended up with a basic routine. Merino underlay, a really good thick merino jumper - the great thing about merino wool is that it will not shrink on you like normal wool. Sometimes I had two wools - I picked mine up in Paris shortly after arriving for an unbelievable 50 euros (although this took a lot of walking up and down through the streets of paris an turned out I ended up buying my jumpers from a boutique three doors down from eh hotel that I overlook in the first place. Coming from AUS a country that is flooded in sheep merino is insanely expensive - a jumper from merino is roughly between 300-400 AUD which is absolutely ridiculous.
On top of that, I had one of two option. I picked up a really warm down jacket in Switzerland in an upscale outlet store in Zurich fro about 200 euros - it was great, but it was also a stunning butter cream so it was possible to keep clean in the winter. Also while a lot of tech store will insist that you coat is waterproof - in most cases it is water resistant - and nothing smell worse than wet down!
The other option I discover was shearling. Heaps of people where shearling in Europe, but not your average frumpy shrilling. I spent some time in Italy, and everybody there wears shearling, and they have beautiful designs - but if you are travelling in season, the price tag are huge. There is this really great online store HW Hamilton - www.hwhamilton.com they sell beautiful shearlings all made in italy so you know its great quality. Nothing beats a shearling in the coldest of winter, a puffer never comes close. It is the best feeling!
As for pants, I just wore my jeans, a good thick pair of jeans and I was okay - although it was fairly dry winter so not much snow this year. If I was cold I just put a pair of wool tights underneath, more comfortable than long johns.
Shoes, important to get a good pair of shoes. You can buy hiking boots (although you will find most of these are made in Asia), but if you are looking for something a bit more refined a lot of brands have Gortex boots, which will keep you nice and dry while looking great.
Also, tip, if you are a lady, wear an handbag under your arm. I know on a trip it is tempting to wear a backpack or a cross the shoulder bag that hangs by your hips, but for security its best that it is under your arms, and in a non visible colour.