I am looking for an exhaustive and light set of items to pack when travelling to places characterized by cold weather for the purpose of keeping warm when outside. By light I mean light packing, one bag if possible.
- Layering. Several thin layers of clothes are more efficient than a thick coat.
- Wear a hat, to limit the heat that leaks from your head.
I would add gloves. I use layering as well by wearing a thin pair of gloves made of silk inside the main pair of gloves.
Well, I can kinda answer but since you were a bit vague, we don't know how cold it is suppose to be where you are intending to go.
If it's average winter temperature in the mainland (I'd say it's from -15°C to +10°C), then this is what I'd recommend (no brands mentioned on purpose):
Fleece jacket is a standard and is very warm and cozy. It is a bit bulky but well worth it.
Goretex jacket, which is lightweight, water resistant and lets your body "breathe". Unfortunately, it's quite expensive but will last at least ten years.
Fleece pants or undergarment (thermal underwear) that lechlukasz mentioned.
Always wear two pairs of socks, thin socks first and then thick socks over these. That way you don't get any friction during activities. If you don't have your thermal underwear, use knee-high socks.
Wool or fleece winter hat. Choose fleece if you want a bit more water resistance.
A scarf or a neck warmer. Don't need these with a great Goretex jacket but it doesn't hurt having it.
Wool or fleece gloves and make sure they are two layered.
Winter sleeping bag (mentioned since I often stay at places where you need your sleeping bag). There is regular winter stuff and then there is arctic stuff. I recommend former because you will probably get hot in the latter.
Warm hiking boots or snow boots.
Stuff to keep you warm which isn't fabric:
Chemical hand warmers. Same stuff as foot warmers. Also disposable but they provide warmth 5 to 10 hours.
Electric foot warmers. Never tried it but would still like to mentioning it.
Electrical socks. Never used them so same as before.
Heat vest. Quite expensive but I bet it would provide adequate heat. But you don't really get cold in the thorax or chest area so think before you buy.
Chemical warmers are great since they're quite small but if you need it for a longer period, you'd have to pack a bunch of these. On the other hand, you can use electrical stuff but it requires charging and you have to make sure you don't get it wet.
For arctic colds (<-20°C) use down suit and down jacket with all the stuff mentioned above. If you're doing any physical activity, dress in layers so that you can take stuff off once you start perspiring so that you don't get your clothes wet as that would make you cold once you stop.
Also note that wind has a major influence on body temperature as it makes you lose heat much faster. Same thing with liquids (water) so you should take care not to get your gear wet since it loses its purpose.
Since sodium acetate hand warmer was mentioned, I'd like to add that it's pretty cool pretty fast (pun intended). It says on the box that it keeps warm for an hour but I never got it to last more than 10-15 minutes. And then you have to bring it back to supersaturated state by putting it in boiling water and then letting it cool to room temperature which makes it quite useless. But it's an awesome stuff to play with for the first ten times and then it gets old. Rather get sodium acetate in bulk and play with it like they do in this video.
You can get pocket hand warmers like this. They provide about an hour of warmth but need to be boiled in water to be used again.
The universal choice are polar fleece things. They are very warm and light. Additionally they can be easily compressed, either by pressing them into the bag or by using compression bags.
Additionally, thermal underwear is a very good choice. Thermal underwear for cold weather usually includes wool and is not so light as fleece, but it is really warm and you won't need more than 2 of them.