The right gear
Feeling comfortable in your running gear is key to a successful training session. Common mistakes for particularly beginner runners are wearing too much so you end up all sweaty and clammy and/or simply not wearing enough so your joints and muscles start to feel cold.
In cold winter months the key to comfort is to run wearing layers. Two or three lightweight layers allow perspiration to escape while retaining the heat, so you'll feel warmer and drier throughout your run. If you feel too hot during your workout you can remove a layer, and when you start to cool down you can put it back on.
Three layers are usually sufficient for a runner. For the first layer it's important to wear wicking materials such as CoolMax or polypropylene, which will draw moisture away from your skin. Cotton is a definite no no as it retains moisture next to the skin. The next layer, only really needed in very cold weather, should increase insulation around your body by creating room for air. This layer will probably be thicker than the first but should still wick moisture away, it should also be easy to pull on and off. The final layer should act as protection against rain, wind, snow etc. so it should be windproof and waterproof or water-resistant. Make sure this layer is loose to enable ventilation, as this will increase the performance of your first two layers.
Don't forget about your legs, hands and head too. Particularly in very cold weather, it may be necessary to layer your legs. If you normally wear jog pants then you could wear nylon tights underneath or if you prefer to just wear tights, you could opt for heavier ones. In cold weather a hat is a must. They insulate you so you warm up quicker and you'll really feel the benefit of the extra heat being circulated around the body when you wear one. Gloves are also a must but make sure they wick moisture away from the skin, the same goes for socks too - you don't need to layers socks but ones that wick moisture will feel more comfortable when running.