You have to layer properly. There's no real fancy, all-in-one situation.
I think a pair of wool mittens, hat, and socks, with wool upper base layer is a must when it is wet and cold. Deal with the fact that you'll get wet, but the wool will keep you warm even when wet. I don't believe the waterproof materials are worth the big money you pay for them...they don't breathe enough, and just get you as wet from sweating as you would be otherwise.
I'd invest in a nice 1/4 zip of good merino wool...Smartwool, First Lite. That will wick the sweat and wool stays warm when wet. Then, you can get a breathable/windproof/water resistant shell. I like the Brooks jackets, because you can get them at a deep discount. I have their Silver Bullet II, which is very light and very warm (reflects your heat back). But there are a ton of options. I think you want to shy away from gore-tex, as it isn't breathable. Go water resistant, and the wool will keep you warm if you get wet. Wind proof is probably the highest priority of your outer layer. For pants...I love the Sporthill XC pants. Windproof, 4-way stretch, and they are well made. Pair them with a wind proof boxer brief and you are good to -20 F.