I've often heard the advice to dress like an onion:
We've learned from sports clothing that it's practical to wear several layers of relatively thin clothing, so that you can peel off layers according to the temperature. Here's an example:
- Undergarments should be able to transport moisture away from the skin;
- then have a layer of e.g. cotton clothing to absorb the moisture;
- optionally have another layer of cotton or fleece to keep warm;
- and finally a layer that is wind-proof and also (if needed) waterproof.
Thin garments are easily folded away and don't take up much room. I like this layering technique much more than the alternative: a really thick and heavy sweater that forces you to choose between too-hot and too-cold, and is difficult to stow away when not needed.
Socks are the exception to the onion rule; to avoid blisters etc., socks should not be worn in layers. Use just one pair of socks that is thick enough for the weather. Bring another, thinner, pair of socks for use when the weather improves or you go back inside (e.g. at a friend's place).
For children that are playing outside in the winter, make sure that the outermost layer is really waterproof. Seams should be taped (this doesn't mean household tape you apply yourself, but is a feature of the fabrication), and two-piece clothing (jacket and pants) should have lots of overlap so that the foul weather doesn't creep in under the jacket's lower edge and up the child's back.
Shoes and gloves should be equally waterproof -- and why not bring a spare set of gloves to use when the first set invariably does get soaked.