1. Thermals
An essential cold wear list isn't complete if you don't include thermals in it.
They're essentially a second skin that traps heat to keep you warm, and ensure that you're adequately protected from large winds.
Not only do they protect you from the cold, they also have sweat-wicking properties that ensure you stay dry while moving about or doing outdoor activities like skiing, hiking and snowboarding.
The best part? They are usually form-hugging and one thermal can easily substitute for the warmth of 2 - 3 shirts, so don't worry about looking like a ball on your trip wearing multiple layers.
Don't forget to get some for both your upper body and legs!