This is late, but I prefer layers to a big, bulky down coat. That said, I was raised in the north and can handle the cold much easier than the heat. Also, I like to do a lot of winter sports and a big bulky coat can be detrimental.
Like everyone else has said, you can't really go wrong with wool. The only exception is that many times it doesn't cut the wind out. For new-age materials, look for an insulating layer and the wind-block layer. Usually this means a fleece under and a nylon outer. Just my two cents.
There was an awesome thrift store in Campton Village when I lived there four years ago. Amazing stuff for super cheap. However, that is a bit far from the OP right now.