You def want some clothes that are moisture wicking. All that means is the sweat will get 'wicked' off your body and evaporate off your clothes. If you get too much moisture between you and your clothes it will freeze and frozen water is a terrible insulator which leads to hypothermia.
The key to winter running is layering, layering, layering. For me living in Calgary its already getting to be -10c or -15c when I'm out for my morning run - here's a list of what I'm wearing in these temperatures, and what I'll be wearing when it gets colder:
0 to -15(c)
regular old nike socks
cheap running room tights
under armor or merino wool under-ware
Merino wool 200g skin-layer
Merino wool 260 or 320g base-layer
wool touque
cheap running room gloves
-15 to <-30(c)
wool socks
running room tights w/ wind-proof on front of legs
under armor/merino wool under-ware
merino wool 200 or 260g skin layer
+on extra bad days synthetic or light wool base layer
arc'teryx griffon jacket
neoprene balaclava + wool touque
cheap running room gloves
wind-proof glove
I know it sounds like a lot, but wearing different combos of what I've described above I find it MUCH easier to get to a comfortable temperature during Calgary's frigid February's than I do during the summer.