Layers and warm socks.  I think it's best to go with a few layers as the temps drop.  That way if you start to get warm, you don't have to take too much off.  A lot of people will get wear their winter hats, gloves, and sweaters but wear the same socks they do in the summer.  Cold feet will stop you just as quick as cold hands!

Also, I've added arm warmers to my bag.  I use them for running in the cold and they work great on the course.  It's basically like having just the sleeves from a base layer shirt, but if you get warm, you can roll them down or take them off very easily.

while i don't play too much in the really cold weather, i have used products like UA Cold Gear.  It's compression fabric and really works well.  It feels tight initially, but is quite comfortable.  I've also used it for bicycle riding.

Steve

Layers!  Thin layers so I can peel them off as I get warmer.  I have a favorite, a Titleist knit cap which does not itch.

In the UK we have to be prepared for bad weather all year round, which is why i bought the 10.5" staff bag to go with my AP2 714's last year as i can keep it packed and prepared for all weathers!

I always make sure I've got my Titleist umbrella and mittens, Footjoy waterproof jacket and trousers packed, along with Footjoy winter glove and a spare towel.

I like to wear some sort of UA cold gear or nke skin tight cold gear when I play. Easier to swing in than a jacket or pullover.

Always have some place to putt indoors too.

All good replies so far (I use UA baselayer too) and good socks are a must but don't forget to drink water. I played a few days ago in 43* and 30mph wind and was toasty warm but they had turned off all the drinking fountains on the course and I was dying of thirst!

Remember to bring some water and Hydrate!

I carry two water bottles in my bag all year.  There is nothing worse than being on the course with nothing to drink.

another goood item to have is a GOLF COURSE that isn't frozen and covered with snow!! I had designs last fall/winter season of playing thorugh the winter months, bu that vision became a blizzrd-covered dream in early January here on Cape Cod...

Better luck this year!