What do you wear to workout/run outside in cold temps?

I am doing a boot camp and the intructer will be doing the class outside in 38-40 degree temps (then we will be inside)
He said to dress in layers, hat, ears covered, and some sort of gloves (need to be able to hold weights)
Any suggestions?
what do yo ladies wear?

Re: What do you wear to workout/run outside in cold temps?

Layers are KEY. Believe it or not 40 is not that cold once you get going. I have worn shorts before on runs when it is in the low 40s. When I run outside in the winter, I wear:

1. headband ear muffs
2. stretchy gloves (like the $1 ones)
3. running tights - different thicknesses depending upon the temperature
4. Various wicking shirts. I usually have one tight long sleeve shirt and then a looser long sleeve shirt over it.