A few years back, I hiked a chunk of the Appalachian Trail during the week between Christmas and New Year's. Despite the high hovering around something like 30 degrees Fahrenheit, my friends and I had to take off our heavy coats and hike with T-shirts on to avoid sweating. When you're moving around in cold weather, sweat is one of the most dangerous things that can happen, and you warm up quickly and stay very warm when you're exerting yourself.

Look at athletes -- when they play outside during the winter, they tend to use the same equipment they would during warmer months while playing, and then bundle up when they're on the sidelines.