What kind of cold are you talking? 30F, 15F, 0F? Do you expect a lot of wind?
I agree that the UnderArmor coldgear and tactical gear is awesome for winter. The LS shirt I've got in L weighs 7.4 oz (I'm a medium in most things -- I prefer to go up a size for UnderArmor, otherwise it feels too constricting -- still skintight a size up). However, if the "cold" temps were only in the 30s, for instance, I think I would overheat quickly in an UnderArmor coldgear layer.
I spent a lot of years playing year-round Ultimate Frisbee, often in sub-freezing temps, and so I tried a lot of baselayers for athletic activity in cold/wet (diving on snowy ground, for instance). And I many cases, I found the midweight underarmor (Metal was my preference) to be plenty. The other layer I really liked was rash guard (Body Glove, Billabong, or similar brands), intended for beach sports; rash guard layers are designed to dry quickly, block wind and in my experience, provide decent insulation when wet without overheating as much as I did with UnderArmor.
But if your "cold" temps are going to be much below freezing, I'd definitely look at the UnderArmor Cold Gear. Once it's subfreezing out, it becomes my goto baselayer for athletic activities.