I did a half marathon on Sunday in a pair I picked up for about £6 which usually work well, although it hammered down all day and by the end of the race I'd pretty much lost the feeling in my thumbs, so if anyone's got a pair they'd suggest to wear when it's cold and windy it'd be much appreciated.
I got given a pair of Pearl Izumi gloves - technically they are cycling gloves, but they have grips on them which is brilliant in wet weather if I have a drinks bottle. They are fleecy material but waterproof and brilliantly warm. Admittedly they got sent to me from the US but I know some of their range is available over here.
I know Sweatshop have a great range online of running gloves, too. Alternatively, check out wiggle.co.uk