It's easy to wear too much. So avoid anything thick because you'll end up having to choose between "too warm" and "cold". Thin and easily removed is the ticket.
Jacket. Needs to have a long zipper so you can adjust how much heat can vent. Someone mentioned a big vent and that's gold. But don't get gortex or similar. That will be a waste of money. Sure, gortex will breathe, but not enough for a runner. The vent will do the breathing. Just get a cheap nylon shell in bright dayglo colors.
If you're tempted to wear a thick shirt, instead wear a shortsleeve and a longsleeve shirt. That way you can easily remove one of them as you warm up and tie it around your waist.
Instead of gloves, wear crappy old socks on your hands. As you warm up in a run, gloves are often removed. Then often lost. No one cares if they lose a few pairs of crappy old socks. Thin is good.
Hat should be cheap and thin. Your head generates a lot of heat so a thick hat will be too much. Get a cheap one because they get lost too.
As folks have said, don't worry about the cold air. It actually warms up a whole lot before it ever gets deep in your chest. It's just that the air is dry. Doesn't take long to get used to.
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