Living in upstate NY, I've got an entire glove system. When it's in the 30's, I use lightweight polypropylene glove liners. Cheap, effective, and almost feels like you've got nothing on your hands. When it's a little cooler, I use expedition weight poly glove liners (I get these from Sierra Trading Post, about $6-7). You can snot all over them and you're hands will still be warm. If it's about 20 or cooler (or stiff wind) I have a pair of Manzella GoreTex gloves (fleece lined). These things are brilliant, but more expensive ($20-something). I cannot wear them in temps over 20F as my hands will melt. I generally don't like to run outside when it's sub-zero, but from XC skiing experience I find the Manzella's to still be effective. If you have a serious cold-hands problem, definitely go with mittens as mentioned previously.
I have also found that a waterproof shell (GoreTex or similar) works great. What I have is a very minimalist shell mitten. Extremely light. I slide them into a pocket and if the wind proves to be a bit too much for the lightweight liners, I slip on the shell. That combo works well down into the 'teens for me.
A good place for gloves, mittens, liners, shells, and other winter gear (poly briefs, vests, etc.) is CampMor. I've purchased a ton of stuff from them, all at good prices.
www.campmor.com