I have noticed the same problem when working with Scouts and their Dads in winter conditions. They will spend hundreds of dollars on the latest Columbia or North Face parkas. Two hours into a winter hike, when you stop for a few minutes, they find themselves shivering because under that $300+ parka, they have a thick cotton sweatshirt over a cotton t-shirt. Both are soaked with sweat. Once soaked, they don't dry very quickly either. I think that a good outer layer is obviously important, but, spending a few bucks on a couple of decent wicking insulating layers is well worth the investment. In fact, with good layering, you can get by with a lesser outer layer. People want that nice looking expedition parka, but, the layer of polypro and fleece that they really need under that is neglected.

I have always felt that more thin layers of quick drying polypro or even good old wool, would work better than one heavy parka. I typically don't wear a heavy insulated parka. I use multiple insulating layers of poly and fleece, and then top that with a breathable waterproof shell. US Special Forces contracted for a layering system referred to as Extended Cold Weather Clothing System, (ECWCS) that is basically a layering system of various combinations of wicking base layers and fleece insulating layers topped with waterproof shell tops and pants. Civilian versions are available from places like Cabela's.