Thermals
This is a popular debate also among members of the diving community who also wear dry suits even though the suits are much bulkier.
Divers wear an all-in-one "boiler suit" called a woolly bear. These come in different grades depending on the thermal requirement, time of year etc. These are available from any online diving retailer.
Another solution growing in popularity due to comfort and heat is a kit from Fourth Element. These are fleece lined trousers and top.