Always run into the wind first on a cold day. (It's better to be cold first and then feel warmer coming back than to get hot and maybe sweaty on the way and then have to go back into the wind.)
Wear mittens instead of gloves
Try to dress in multiple thin layers with a windbreaker type outer layer and a wicking inner layer (Polypropylene and goretex clothes are also an aid to keeping your body warm and dry)
Apply Vaseline to your face to keep warm
When it is below 20 degrees wear a scarf to cover your mouth to keep your throat from getting overly dry and irritated
Wear a good pair of thorlo or other running socks
Wear a hat or at least a headband
Heavier jacket should only be worn when the temperature is down below 15 degrees
Always run into the wind first on a cold day. (It's better to be cold first and then feel warmer coming back than to get hot and maybe sweaty on the way and then have to go back into the wind.)