When you work in the film biz, you must be prepared for all kinds of weather, on set and off, inside studio stages and on locations. We were working the other day and it was raining. A civilian was nearby and asked me, "Do you stop when it starts raining like this?" It was all I could do not to laugh. I politely said "No."
So you have to be ready.
On our coldest/wettest days here is what I wore:
Socks -- two layers. A thinner liner sock and a fatter smartwool type sock. Never wear cotton!
Legs/lower body -- thermal underwear (I have patagonia capilene medium weight), fleece pants (by Mountain Hardwear) and then wind breaker/rain outer pants. (The rustley ones.) These three layers keep me very warm, though in anything less than freezing, I might need thicker versions of the thermals and fleece.
Upper Body -- I had two daily versions of warm on top. One is my bright pink, medium weight Icebreaker wool (thin) sweater. Icebreaker clothing is phenomenally warm and makes great layers. On top of that I had a thin fleece layer, then my Land's End medium down jacket and on top of that, my Patagonia outershell/raincoat. My second daily version would be capilene undershirt (silk weight), my pink and white "stripey jumper" of cashmere and a fleece vest. Then the Land's End down jacket and the P outer shell.
There would always be a scarf, whether it was a fleece one (fast dry, very warm) or a pretty wool one, depending on my mood.
I had fingerless wool gloves that were good most times I needed gloves. (Still had to use my fingers to write.) I might get better fleece fingerless gloves for the next project.
And a hat. I have a Mountain Hardwear wind stopper hi-tech hat. I have not had to wear it yet, but have loaned it out a few times. I've only worn my bright blue earmuff/headband to cover my ears and keep my hair out of my eyes in the wind.
The one thing I haven't quite sorted out is the shoes. I bought a new pair of boots here because I brought my lower hiking type shoes but realized they would not work as well. The boots are waterproof and generally comfy, but if I need serious winter protection, I don't think they will do. Need to look into that for next year.
You can never assume it's going to be warm or dry when shooting in fall/winter in places that are known for rain and weather. Always carry as much extra protection as you just never know. And even in LA when you are shooting on a huge soundstage in winter, it will be COLD in those giant cavernous buildings. Cold.
All these layers makes one look like the Michelin Man and there are days when it's really hard to find people on set because everyone looks the same with their dark colored clothing with hoods. You have to go around and look into everyone's face to find who you need. Occasionally someone wears a had or jacket of a bright color and that is handy.
Now if they only made waterproof paper.