A lot of the clothing used by ice climbers and skiiers might transfer over as well.
Lycra is rather thin...but there are materials like powerstretch fleece and "softshell" materials that shed snow and are virtually windproof but don't have much bulk. Talk to the folks at your local REI or other mountain shop. They also cost much $$$. But the GoLite sale is next Friday and you can get screaming deals there.
Finally, remember that you yourself are going to be putting out a lot of heat training, so don't layer up too much just to leave your new jacket on the ground because you're sweating.
A really good system that I've used for years ice climbing is to wear a thin, softshell type jacket and pants. This is your "action suit"
Then in a backpack, bring along a down or synthetic insulation jacket. As soon as you stop moving (getting a water break, filming a friend, etc.) you throw on the insulating jacket. This does two things: First, it keeps in all that nice heat you just produced (it's easier to stay warm than to get warm)
Second, it creates a thick thermal layer around your sweaty self. Since the moisture you created is now deep in the thermal layer...your body heat will push it away from you and into the insulating layer. When you take the jacket off in a few minutes, you are dry again!!
Of course...I don't think we'll have a winter like the last one...so we'll probably all be training in shorts anyway!!
