When the weather hits the extremes, it becomes more important to focus on your extremities. Specifically, take care of the 3 Hs - your head, hands and heart (aka your core). This is true in every season, but it's too cold to think about summer running, so let's focus on keeping your Hs warm.
Heart: Maybe this one is obvious, but of all the things to take care of when it's cold outside, your heart and chest area should top the list. I don't care if you're determined to wear shorts or bare feet even when it's 10 degrees out, layer up your core to keep warm blood circulating, protect your lungs and maintain your energy. Today, it was 17 degrees out, so I wore a fitted Nike tank (see pic) under a warm Icebreaker top and a wind-proof jacket. These three layers were just what I needed to be very comfortable on my 6 miler.
Hands: I keep reading that keeping your hands warm is key to feeling warm all over. Maybe it's psychological, but cold hands make me want to cut a run short. When picking gloves for windy, very cold winter runs, choose something with a nylon outer layer and a fleece inside. Otherwise, knit or fleece gloves can usually do the job.
Also, if you find you're overheating on a run, try taking off your gloves before removing any other layers. Cooling your wrists - a major blood flow area - will help cool you down. Plus, you won't be exposing your damp under layers to the cold.
Head: We've all heard it; you lose most of your body heat out of your head. In the winter, that means the easiest way to stay warm is to put a lid on it. Today it was windy and cold, so I wore a knit hat plus balaclava/stocking cap to keep the warmth from being whisked away as quickly as I generated it.
Wishing you warm runs!