How to dress for different temperatures?

It's getting cold out now (near me at least) and I'm curious what other people wear to keep from being uncomfortable in the very cold weather. It has been between 30F and 40F in the early hours of the day and shorts and a jacket probably won't cut it. How do you dress? When do the gloves come out? I will tend to put on fleece pants under a pair of shorts to keep my legs warm, but could I do something better?