Hi free1! I bought my first pair of compression tights just this year when Northern California had colder than usual snap in the weather. Mine are Under Armour. Check out their site for more information; they have a few different types and I can't remember off hand which I have, but I do like them and I can feel the difference between running in them and my regular capris. Compression tights fit like a second skin and provide a firmer hold on your muscles which helps to maintain your body heat and your muscles loose. They were a good investment and I definitely feel that they keep me warmer on my early morning (sometimes pre-dawn) runs.
My only complaint is that I'm really short so I end up having to roll the bottom of my tights up a couple of times. No biggie, though