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Some people prefer to run inside on a treadmill when the temperature drops. But if that's not an option or if you just like to run outside, here's a good rule of thumb:
Dress for 20 degrees warmer than the thermometer says. If it's in the 25 degrees Fahrenheit, for example, it will feel like 45 degrees (more or less, depending on the wind). If you feel a bit chilly for the first 1-2 miles, you'll probably be comfortable during most of your run.
The key to staying comfortable is lightweight layers, rather than one heavy layer. Start with a moisture-wicking shirt, add another shirt on top of that if it is really cold add a running jacket that is breathable, but also has some wind and water resistance. If you live in the north, choose a jacket with less breathability and more wind resistance to keep you warmer. In a moderate climate, choose a jacket with more breathability. I recommend owning one item of several types of outerwear: A lightweight vest, a breathable but water-resistant jacket, and a windbreaker that's less breathable but keeps out more wind and water.