We've used the Outside Baby Windproof pants and jacket. They're really thin- the inside is thin fleece and the outside is windbreaker material (but soft, not the mylar like stuff, lol). The sizing seems strange, but DD has used the 9-18 month size since she was about 9mos- she turns 2 next month. We had to fold the cuffs at first, but that was fine because they are meant to grow with your child. This is the set we have (these are stock photos):
And they make a snowsuit version (Outside Baby Windproof Fleece Bunting):
The are kinda pricey.. but I got mine on Spots Corner for $18 so go figure... I do see them on clearance a lot though.