I use winter weight cycling trousers (padded). If really cold (well below freezing) then some dedicated cycling thermal leggings (designed to be cycled in and makes all the difference). When it is even colder, I will add leg warmers (but I have to safety pin mine on because I have long thin legs and they seem to expect people to have more muscle/fat around the thighs than I have). Thick merino wool socks all the time - if really cold there are some merino wool liners to go underneath and I cycle in walking boots that are waterproof. In even colder weather (say colder than -10C) then I simply use the winter cycling trousers above with waterproof trousers on.
My top half gets less. Depends on the weather, but usually just a thin merino wool top (that is almost thread bare nowadays) and a waterproof top/climbing hoodie. I usually use my mountaineering waterproof. If it is really cold then I will try 2 merino wool tops and often use my climbing hoodie from Arc'teryx as an outer layer. It is great because the hood is designed to go under climbing helmets and works really well under cycling helmets. I will add a buff that comes up over my cheeks and if needed over my nose. I used to use on of the mentioned skull caps above, but since finding the Arc'teryx climbing jacket, prefer than instead.
My hands get more attention. Various layers including merino wool glove liners which add amazing amount of warmth to most gloves. I have some dedicated winter waterproof cycling gloves which can have said liners, but if it is really cold, then waterproof ski gloves with my merino wool liners.
It was not particularly cold, but it was a wet cold - only just below freezing when this picture was taken. Later it started to rain, which promptly froze on our waterproofs whilst we were cycling. Here I was wearing 1 layer under the climbing hoodie, neck buff, winter cycling leggings with leg warmers and thermal leggings, merino wool glove liners, with ski gloves and the skull cap.
The coldest I have cycled in todate is around -15C, but it was something we actually commented on was that we didn't have any pictures of ourselves really wrapped up, but the tour ended later that day rather unexpectedly, there were never any pictures.