I don't run, but I do cycle so the principles apply.
For me: Thermal gear that breathes, so hat/beanie, gloves, base layer, hi-vis vest, and proper bottoms for the weather. The hi-vis is big for me because with daylight savings, it gets dark fast and you want to be seen.
Like 4444 mentioned, I am a firm believer in warming up properly is crucial to a good run/ride, however some people don't believe in it so this is debatable. You lose most of your heat through your head so proper head wear is important and the warm up helps or at least prevents to some point a major headache and lungs from injury. I underestimated yesterday's weather when I went for a ride and holy Christ it was so cold.
I get all my gear online mostly from
Outdoor Gear & Clothing | Run, Camp, Bike & More | Backcountry.com but Amazon also has great deals!
Edit: I should add that a good local shop for running gear is Pacific Multisport on E. 28th and Main in Vancouver. They don't carry a lot of stuff in store but if you know what you want, they will order it for you. They are at the very least knowledgeable when it comes to what gear works and what is a complete waste of money.