I have a few options I use, depending on conditions.
Sometimes, just putting on my rain pants (which are essentially a GoreTex shell for your legs), over whatever I'm wearing,will do the trick. It breaks the wind, keeps me try, and creates another layer of semi warm air.

I sometimes wear long undies, synthetic stuff called Bergelene from EMS. They have long underwear, tops and bottoms, in a few different weights and styles. The stuff is amazing, and somehow it doesn't seem to accumulate B.O. like most of the synthetics tend to. I'm sure they probably treat it with some deadly chemical to accomplish that, but, hey, it works.

Skiing, snow shoe, etc, I wear some fleece lined snow pants or bibs. Nothing fancy, not technical gear, just really coated nylon stuff with decent fleece inside. Add a layer of the Bergelene if it's going to be really cold.

Remember that sometimes your pants are ok, but, they are letting cold air circulate around your legs from the bottom. A good set of gaiters will help solve that problem, and also keep the wet stuff out of your boots.

Lastly, I would mention that most of the time, if it's cold, I'm more likely than anything else to pull on a pair of either flannel or fleece lined jeans. Carhart makes some nice work pants that are bulletproof (well, not real bullets) and keep you warm. That's what I was wearing most of the time on our weekend camping trip 2 wks ago. They are actually canvas more than denim.

You don't really appreciate old fashioned canvas jeans until your buddy sitting next to you at the campfire in his $250 North Face technical climbing pants has an ember melt a whole through them <img src="/images/graemlins/frown.gif" alt="" />, and your canvas ones just shrug those embers off. <img src="/images/graemlins/grin.gif" alt="" />