A lot of people stop running in the winter which to a large extent baffles me -- especially when they've slogged through 80 degree days. Cold weather running is your reward! Trust me, you'll be more comfortable in the winter if you just dress properly.
The big downer of dressing appropriately is that you're a lot warmer after you get started so, both in summer and winter, you need to plan for how you're going to feel on the majority of your outing rather than how you feel when you walk out the door. This is a particular bummer in the winter when it may be twenty degrees out.
I've been trying to come up with some sort of formula for staying comfortable, no doubt someone's already given it a go, but my hypothesis is "1 layer for every 15 degrees below 60" -- you should also have a full zip something or other, light jacket, or heavier hoodie because you're coldest when you first leave the house and for the first mile, so you want something you can easily take off while you're running. When temperatures get down near freezing, it should be a full-zip hoodie, so you can cover your head & ears. Hoodies are better than hats because you have more variation in controlling your warmth with them. A Good running hoodie will zip up tight around your head and the zipper will stop just below your nose, this gives you a lot of variation in temperature control with the zipper.
If it's windy, raining or snowing, one of your outer layers should be weather resistant.
If you have the option, it's wonderful to have a place a couple miles from home where you can stash extra layers.
Today it was 28 degrees and snowing. I was wearing a compression base layer, an over layer and a weather resistant Sugoi top that keeps the snow from coming through while, allegedly, still letting my sweat escape. Along with that was a micro fiber hoodie that I alternately put on and tied around my waist depending on how I felt. Ultimately I was slightly warm in the three layers. This may seem a little odd considering my beard and eyebrows froze and my hat developed icicles.
But it's true. Get your shoes, go out for a run.
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