Stay away from cotton at all costs. The first little bit of perspiration and you'll be freezing your a$$ off. The old fashioned cotton thermal underwear is useless.
I usually wear a two layer long underwear made by Doufold. The innerlayer is a synthetic and the outer layer is 45% wool and the rest is some other type of synthetic. I like the wool in it because it keeps me warm when I ride or ski in the rain.
Campmor I just bought a Cloudveil RPK jacket. It's a light weight Goretex jacket with sealed seams. It also has a powder skirt and zip pits. It's one of the lightest jackets I could find with a powder skirt. The jacket has no insulation or liner in it. I typically do not get cold and like to dress very lightly.
I also have a 3 layer Goretex jacket by Marmot (I forgot the name of it) for colder days. It also does not have a liner or insulation. It's at least 12 years old and still keeps you dry even in heavy rain (like this past Sunday am at the Shoe). My sister has summitted (sp?) Mt. McKinley (and the two highest peaks in So. American and several peaks around Nepal) on several occasions using this same jacket. I figured if she was relying on this jacket to keep her alive in -45F and 100mph winds, I could take a few ski runs with it.
The best advice I could give is
dont' be cheap . If you've ever been really cold, how much would you have paid to get warm? With jackets you get what you paid for.
BTW - I'm not a fan of Columbia or zip in fleece liners. But then again, I don't get cold.