I suffer badly from cold generally, brought more into focus recently when a midnight shaft exit in a sleety gale almost finished me off physically, so I've recently invested in a pretty chunky MTDE undersuit which is very warm indeed. Sadly as a result it's added about an inch to my overall measurements, and my usual oversuit is now rather tight and restrictive! Ah well. But I found my lightweight hi-tec AV undersuit was nice and warm until wet, and then I'd start to lose heat rapidly if I wasn't very active, even in plastic.
I found a skintight merino wool top underneath the best bet (black, obviously), as they can soak up sweat without smelling, and also give off heat as they dry, so even if it's damp when I get out, and I'm not filthy, I just put a jumper over the top and it's toasty in minutes. It's antibacterial properties mean you can wear them for ages if you don't sweat a lot! I also gave up wearing underwear caving as I just couldn't see the point, given the state it often ended up in. I don't mind getting changed by the road - the drivers are invariably more shocked than I am, and as long as they don't hit me I couldn't give two hoots what they see. We've all got them, whichever style...