Autumn/winter is my favorite time of year to play. The courses are less crowded and a flask full of irish whiskey to help keep you warm can make for some fun golf.
Layering is definitely the best way to go. I like the thermal underwear (long johns) made for active sports, usually found in ski shops or the skiing/snowboarding section of most sporting goods stores. Over that I wear a long sleeve golf shirt or mock turtle neck and khakis, maybe a sweater if it's real cold. Then a thin micro fleece 1/4 zip pullover, and a pullover wind breaker and rain pants if it's windy. In colder weather I may put a loose fitting full zip fleece that I can take off easily over that.
Something to cover the ears is essential. If it's really cold I'll wear a stocking cap, but a lot of the time they make me sweat too much, so I'll wear an earband over a ball cap.
Cart mitts are awesome to wear between shots. And you can tuck hand warmers inside them if needed.
As long as there is no snow on the ground I'll be there!