Long singlets, Long Johns, those funny little gloves with the fingers cut off, a good quality beanie or better yet a fleecey lined jacket with a hood. Ugh boots are great but get them with a good solid tread (and wear thick socks with the Ughies). Plus a hair drier.
Why?
To stick up inside your jumper or down the front of your pants or into your ugh boots for those REALLY frosty nights. It was a godsend out at Duckadang at 3 am.