Let me just plug insulated wool convertible mittens. I found a pair similar to the ones attached at a thrift store. They are wool outer, with a thinsulate insulation and a leather palm patch. The mittens fold over into fingerless gloves which are handy for zipping up your jacket, locking up, etc.
They aren't windproof, but the combination of the wool outer, the insulation, and the mitten design has kept my fingers cozy down to the single digits F.
Link to ones at campmor, $10
http://www.campmor.com/webapp/wcs/st...berId=12500226