Layering is the absolute best way to stay warm (and shed layers to cool off) in the outdoors. A very easy way to think about layering is a simple 3-piece system: a base layer that wicks moisture away from your skin, an insulating layer that keeps you warm, and a shell that protects you from the elements (wind and precipitation). With this system in mind, there are many variations. Your wicking layer can be thin when it's warmer out or thicker when it's colder outside. Your insulating layer can be anything from a thin fleece vest to a synthetic or down insulated ("puffy") piece. And your shell might be as simple as a windbreaker or it may be a thicker waterproof jacket. Additionally, you can always throw on an extra vest.
The key to layering is to find the right pieces and to not layer too much. Yes, if you are wearing a thin base layer and a thin fleece in the winter, you will not be warm, but piling on more layers is not the best solution. It's also important not to get too warm while being active because you will sweat more. It's better to be the right temperature while exercising (hiking, skiing, biking, climbing, etc) and put on a warmer jacket as soon as you are finished.
Warmer weather: thin base layer, fleece vest, wind breaker or rain jacket
Cool weather: medium base layer, fleece top, waterproof/ windproof jacket
Cold weather: medium base layer, micro-puff jacket (synthetic insulated jacket), waterproof jacket
Materials: there are so many different types of synthetic and natural materials on the market today that it can be very difficult to figure out which ones are best. Several companies carry their own line of synthetic fabrics as well as a wool option. Wool is great because it remains mostly odor free, however wool doesn't dry as quickly, so if you are going to be sweating a lot, wool might not be your best option. Synthetic fabrics are more and more made from recycled materials and are easy to wash and care for.
Fleece vs. insulated jacket: the great thing about fleece is that it's breathable, whereas an insulated jacket is going to be harder for your body's heat to escape, therefore trapping in sweat. If you are doing lower aerobic activities such as fishing or foraging, then wearing something insulated is probably the way to go. With highly aerobic adventures, fleece is probably a better insulating material.
Outer shell: your outer shell is the piece that is easy to shed and protects you from the elements. In backcountry skiing, you may take off your jacket while you're hiking, but you'll definitely want something waterproof and windproof for the descent. While many waterproof materials are "breathable" today, nothing is as breathable as taking it off. A windbreaker is always a good piece to carry and is an easy way to keep warm.