The first layer is about managing moisture and wicking sweat ~ you know what it's like to put on so much that you're actually sweating before you leave the house, right? That's wrong! This layer should be thin and fitted like silk in the form of undies, tights, tees, etc.
The second layer should be focused on insulation and warmth, and this can be done nicely and bulk-free with natural fibers like wool or cashmere. One layer is good enough!
The last layer should be based on the weather you're facing like rain, snow or wind. For rain, it's something waterproof like a shell or fab trench coat. For wind, stick with goose-down, and for snow, I'm a "snuggler" so a combo of goose + windproofing is my favorite.
A few of my layering must-haves....