Anything that is not cotton to wick away the sweat is a must. You can also wear running tights or lined running pants if its really windy and cold. I am right outside Chicago so I know all about the cold here. A hat, gloves, a few light layers and gloves usually is all I need for a run. After about 10 mins you warm up anyways and sometimes I even feel too hot but better be a little warm than getting frost bite!
My Brother in Law works for Adidas so I have a ton of stuff from them. Anything that has the Climacool in it, is what you are looking for. But any brand has their own version of it and you can get that too.
Started AGAIN after Baby #2: 8/1/2012
Height: 5' 6"
Starting weight: 180 lbs
Current : 153
Lbs Lost: 25
Lbs Until 1st Goal Met: Success!!
Lbs Until 2nd Goal Met: Success!!
Lbs Until 3rd Goal Met: 3
Goal #1 165 by 9/17/12 - First Day back at work
Goal #2: 155 by 10/17/12 - Daughter's B-Day
Goal #3: 150 by 4/15/13
Goal #4 - 145 by 6/1/13
Goal #5 - 140 by 7/1/13
Goal #5 - Ultimate Goal - 135 for Life!!