Your mileage may vary. In fact, it will vary. But since some of the folks who stop by here are newer runners of Ultrarunners looking for practical, how-to advice, I'll tell you what works for me.
Today's example is a cold weather run from earlier this week when the ambient temp was 10F. There was a slight wind, say up to 10 MPH, so I'd characterize the conditions as breezy but not windy. As is the norm around here in south-central PA, the prevailing wind was more or less from the west.
My clothes: started with a pair of "wind boxers." These are boxer shorts with a nylon panel in the front, well, to protect your junk. Next was a pair of calf length socks, medium weight, much like I'd wear in any season. I don't use a heavier sock in the winter.
Since my winter tights are not super heavy, I layered up first with a pair women's footless tights from a department store (i.e., not a designed running garment), then my outer men's tights.
On my torso I wore a long sleeve mock turtleneck of polypro or some such fabric, then went with my outer layer: a fairly heavy fleece shell with a hood. I love this shell for serious cold because the way it is designed, the zipper can come up high enough to cover my chin and in so doing in snugs the hood around my head (there is not hood string to draw it tight). I wear a baseball cap under the hood, for sun or rain/snow protection for my eyes and glasses.
Thus when I'm totally zipped up, only my nose and eyes show. But I usually zip the fleece down just a tad to expose my mouth for breathing.
Oh, I do wear heavier gloves when it's this cold, as my hands get chilly easy here in my old age. Plus from long habit, I always carry a bandana. That's a year-round staple for blowing noses to wiping sweat to cooling off with water dipped from a stream.
For me the best strategy is to run first into the wind if your geography permits. That way you get the worst part done first, and can unzip a bit on the return segments. If you do the downwind part first, you risk sweating up a bit, which will be unpleasant when later you do have to turn into the wind.