Layers and waterproof.
I don't like using traditional thermals, but the underarmor/silk stuff that'll wick moisture well. I have a general pair of snowboard pants that I'll use whether skiing or general playing in the snow. Just baggy enough for a pair of jeans underneath if I want to.
Same base layer for my upper body with a t shirt or something casual and a fleece liner/jacket. Depending on the weather, I'll wear my snowboarding/snow jacket that came with the fleece liner/jacket or a soft shell jacket.
Yes, it does get hot with all the physical exertion. After a few runs, or maybe the first run, you'll have that outside jacket unzipped.
Get nice fitting gloves, floppy material or too tight sucks and I hate having to take them off. I usually just wear these for casual trips:
http://www.hatch-corp.com/detail.aspx?pid=EWS530
If it gets too cold, I'll put on a pair of dedicated snow gloves.
I like having a beanie or headband to protect my ears. A hood is nice if you want to keep stuff from going down your neck.
Oh, if you're not used to the cold, get some handwarmers. No need to spend a bunch of money on an electric or fuel one, just one of these.
http://www.warmers.com/Categor...pval=1&pIds=CategoryID
Shove one in your pocket or something so you can warm your hands when you don't have gloves on. Can usually find these or other brands in any sporting goods store.
There might be snow this weekend. Don't forget to bring your chains. I'm going up to Reno for saturday/sunday.