Winter Silks is having a sale on long underwear, which is VERY good stuff for KR use. It's lightweight, warm, won't bulk up under garb, and will keep you warm even when it's wet (from sweat or rain or snow). Most items come in black & white, man's & woman's cuts.
www.wintersilks.com/longunderwear/default.aspx?BRANCH=1~
They also make good glove & sock liners, which I can vouch for as being awesome in cold weather.