Once you've done your duty of layering, it's time to think about the outer garments that will work to keep you warm on your rides. Look for a shell set that includes both jacket and pants, because that will ensure you're covering the majority of your body and keeping those gaps down as much as possible.
A good jacket will be made of a synthetic material such as Kevlar or Cordura, a synthetic blend or leather. All these materials will do a good job of deflecting wind, but leather doesn't protect as well against rain. No matter which you choose, make sure you look for something that has elastic cuffs along the wrists, waist (for both jacket and pants) and ankles. These cuffs will make sure that you don't get any errant wind slipping through your clothes and making you cold.
Finally, the shell set should allow freedom of movement. This bit of extra room works on two levels. First, you're able to move freely while on and off the bike. Second, more room means you can add more layers underneath. And remember, more layers typically mean more warmth.