I spent the weekend outside camping in below zero windchill 2 weeks ago, alternating between 2 sets of gloves. When I was working, setting up a tent, cooking, or hanging around the fire, I had some 300 weight polarfleece gloves, they are made by North Face. I think they call them their Denali gloves. They are ok when you're active, but, aren't going to keep those digits warm when you're not doing much to generate heat.
The more sedentary times of the weekend, I was wearing a 2 piece glove made by EMS (Eastern Mountain Sports). They don't make the particular model I have anymore, but, it's one of their technical climbing gloves. They probably have some more updated model, and, this style is also available from many companies. It has a Goretex shell, with leather reinformcements on the palm and finger tips. Inside of the shell it's lined with a thin polyester insulation and light fleece. There is also a liner glove that goes inside. The liner is also some synthetic material that seems to keep my skin dry. Having the liner allows you to pull your hand out of the shell when you need fine dexterity, without exposing raw skin.
Dry is key, with whatever gloves you have. As was mentioned, mittens will also generally keep you warmer, but, I personally find that I just tend to use my fingers too much when I'm outside, so I tend to go for the gloves.
You could also look at hand warmers that can go right into your gloves. If it's really cold, I have small chemical warmers in the palms of my hands inside the gloves. They work for about 6 - 8 hours, some a little longer.
Something to check also is the fit of the clothes you are wearing in general. Your hands will tend to be colder if there are any constriction points leading to them. I've had boys camping with us that had jackets with very tight arm holes, or who had very snug cuffs. You want to make sure that your gloves and jacket seal out the exposed areas, but, if the area around the sleeves is too constricting, it will make your hands colder. Some gloves contribute to the problem by having tight elastics around the wrists.
Another thing that helps keep your hands warm is thermal underwear that has extra long sleeves with holes for your thumb so that your wrist is covered. I don't know if I can describe this, but, when you wear them, the sleeve goes all the way to your knuckles, and your thumb goes through a hole to keep the sleeve from creeping up. They really help keep your hands warmer.
Lastly, if your hands are getting cold, your body is trying to tell you something. As others have mentioned, make sure that your whole clothing system is working to keep you warm, rather than just the gloves. Think shell, fleece, hats, boots, hoods, gaiters, etc. (And keep them all dry, if you start sweating, take off a layer)
Ok, that was a lot more than I intended to type, I must have thought I was talking to the boys in my troop... <img src="/images/graemlins/blush.gif" alt="" />
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- Ron