Definitely layers on top - a wicking long-sleeved undershirt (I love Wickers
!), a lightweight fleece pullover, and a windbreaking jacket. You generally don't need as much on bottom - tights (I wear Under Armour Frosty Tights
) and windproof track pants should be enough. Also, you can lose a lot of heat from your head, so a wool stocking cap is a good idea (and can be easily tucked in a pocket if you find you don't need it.) You should feel slightly chilly when you first start, because you will warm up quickly and you don't want to get overheated.