I've just posted an answer to a similar message on a "freezing legs" thread but thought you might be interested in what I said to that one.
I live near the Cairngorms and run all winter in the hills. I also do a fair bit of hill walking. I've always made do with cheap kit but my husband got sick of me moaning about being frozen and bought me some pretty fab stuff for Christmas. I don't think it was terribly cheap, but if you're planning on continuing with your running you may be able to pick up similar stuff in the sales on the internet at this time of year. It's still baltic up here anyway, despite the obvious warmth for some lucky runners down south!!
Here's a short list of the best of my kit - I don't know the style names but I'll do my best. Mountain Equipment Powerstretch tights -best buy ever, along with Helly Hansen long sleeve top with Merino wool. I have a thinner long sleeve HH top with a zip neck which is great on warmer (ha ha) days. Also, a Montane ultra lightweight running jacket which stuffs into its own wee orange-sized bag. Incredibly thin but warm and windproof. Extremities thin fleece hat and Sealskinz waterproof gloves. (These get a bit warm but I love them anyway cos I've never had the luxury of dry hands all winter)
Happy running!