Most of my experience comes from running. I really like a pair of compression tights I have. They keep me warm, but not too warm, and I can move just fine in them.
As for a shirt, I generally dress in layers so that I can adjust as I warm up. The first layer should definitely be moisture-wicking, you don't want to trap sweat near you when it is cold out.
I think I'm going to try to get some compression tights this weekend. I took your advice for the layers on top.
I did okay, got a bit warm, but wasn't cold once we got going. I wore my hiking long underwear under shorts, I think tights would be way better. I wore my most wickingest long-sleeved shirt and then a wicking t-shirt then a vest. I think I'm gonna see about getting a thinner vest and ditching the t-shirt, my vest was a puffyish one that I wear snowshoeing/snowboarding. I didn't need quite that much.
It was fun seeing what everyone else wore. Everything from running tights and a lightweight long-sleeved shirt to thick sweatpants with a med weight jacket and hat w/earflaps! I must be naturally warm because I would have had a heat rash wearing what some of the other people wore!