h2g2 The Hitchhiker's Guide to the Galaxy: Earth Edition

Wear the appropriate clothes! Sounds simple but that's the best bit of advice really. Wear layers of clothing, thermal base layers, followed by fleece shirt, duvet jacket and outer breathable waterproof shell. The best base layers are high wicking - drawing the moisture away from the body, so that it can evaporate through the other layers. A layer of moisture next to the skin will chill you very quickly in extreme cold.

Wear dedicated winter boots with wicking socks, and layers of gloves - thermal inner, with waterproof breathable gloves, and perhaps a shell layer made of waterproof breathable material (such as Goretex). Scarves, hats and balaclavas should also be worn.

An emergency shelter, or snow-hole, can be dug in deep snow to get a nights sleep out of the elements, and can provide enough shelter to get a stove going to make a brew.

Some noteworthy points though: If you have let's say four layers of clothing on (remember that several layers of thin material keep you warm better than one thick wool shirt) and you start moving around a bit more than you were prepared, you can even suffer heat exhaustion due to the huge amount of heat produced by your muscles. Basically this means that it's not wise to jog longer distances looking like the Michelin man, when it's only 0 C outside. And besides, when you finally stop for a moments' pause, you will be freezing cold due to the sweat your clothes have absorbed.
These are things quickly learned when having a 30 km march with a 40 kg load on your back; while you're on the move, a t-shirt is enough underclothing, but when you stop, you'd better dig out that warm jacket that's been bothering you with its weight from your backpack.
Changing socks to dry ones every now and then is also highly recommended.

Very true. Quality winter waterproof jackets usually come with 'pit zips', which are a good way to adjust temparature on the move. Some fleeces also have this capacity, giving good ventillation when you need it (you don't necessarily want to be adding or removing jumpers in the middle of a rain or snow-storm...

Beware here as well though - I managed to forget that the pit-zips were open walking along a ridge with high-speed winds blowing the rain horizontally at us. Wondered why my sides were getting so damp. Luckily we still had enough walking to do to allow my clothing to dry off before the nights camping!

SW.

Loose outer trousers, closed at the feet, but somewhat open at the waist provide a channel for heat to travel from your legs up to your torso. Opening, or even removing clothes when walking is important, to avoid the heat-shock described above.
And if you are unlucky and get frostburns at specific parts of your body, flesh against flesh is the quickest and best way to regain heat. If you're suffering from heavy general cooling, remember to warm up the torso before you warm the arms/legs. This is to avoid the freezing blood in your arms and legs getting back to your internal organs and making a mess of you. Many inexperienced mountaneers have died from freezing after they have been brought into a heated tent, because of freezing peripheral blood. Drink warm stuff. Cocoe.