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The usual safe bet for any cold weather activity is using a lot of layers rather than relying on one heavy piece of clothing. This allows you to better control how heavily dressed you are, based on weather and your level of activity, to prevent overheating (you should never be "hot" when you're in out the cold, you want to stay warm but feel a bit cool, like being in a A/C'd room in summer).
The cold weather UnderArmor stuff is nice, albeit pricey. You can find other similar products (different brands, including stuff made from Coolmax fabric) in sports/outdoors equipment shops. The main properties you're looking for are breathability and wicking, which will pull moisture (sweat) away from your body and allow it to evaporate. What you don't want is something like cotton, which will soak up the sweat and keep it close to your skin: the cotton will try to evaporate, causing it to draw heat away from your body (endothermic process).
For an insulation layer, fleece is king. It's breathable and extremely warm. Fleece comes in different weights (thickness) so you can pick one appropriate for the temperature range you'll be in. It's also possible to layer fleece (so two #100 fleece will behave roughly like a #200 fleece). For the coldest weather this year, I've been using the USMC Polartec#300 fleece (which is pretty much the same as the old SPEAR fleece jacket). It's kept me comfortable in -30C (~ -20F) weather.
Fleece, however, does nothing to protect you from wind or rain/snow so you need a good outer shell. Your choice of outer shell will vary based on the type of weather you'll be in. Typically in harsh weather you'll want a hard shell, and in the land of hard shells Gore-tex is king: it'll keep water from coming in while allowing moisture to go out (basically it's one way breathable). This means that all that sweat that was being wicked off your body by the Coolmax and passing through the fleece can exit, but the heat remains trapped, so you stay warm and dry (even if you're sweating).
Otherwise there's a number of other shells you can use, anything that does a good job of keeping out water and blocking wind. But you'll have to control aeration yourself.
If you aren't in harsh cold, you can also look into soft shell jackets, which provide protection from the elements like a hardshell, remain breathable, and also keep you warm like fleece. For airsoft, you'll have to look at stuff like TAD Gear's softshells: AFAIK there are no "issued" soft shell jackets at this time.
Similarly, for boots, you can't go wrong with Gore-tex. I use USMC Gtx boots, myself, and absolutely love them; they're warm and they keep your feet dry. For everyday wear, the color (Olive Mojave, which is close to Coyote Brown) goes well with jeans (unlike tan desert boots which really stand out, and make it obvious you're wearing army boots).
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