Wear base layers and tuck them in.
If it’s below freezing, you are going to want to wear two base layers. Make sure they are made from a moisture-wicking fabric, but not cotton, which is slow to dry. If you opt for a base layer (T-shirt or tank top), a long-sleeved top and a jacket, tuck the bottom layer into your tights/running pants for added warmth and wind protection. Also, be careful not to overdress because you'll warm up as you run.
Dress for temps that are 10 to 20 degrees warmer.
Of course, this advice varies from person to person depending on how hot or cold you run. As a general rule, though, you warm up as you move. Finding yourself overdressed, hot, and sweaty midway through a run is almost as bad as underdressing and feeling miserably cold.