We're in Ottawa, which has -40 winters...so I feel like I know what you're talking about
We've had great success with toaster suits from www.mec.ca and Columbia 2 piece snowsuits. We always spend top $ for good boots, mitts and hats, cause we want the kiddies to like winter (not loathe it as I do!).
They are no longer made in Canada. They're now made in China, and the quality is really down. They are much heavier, the zipper is flimsier - it's not the same product. Very disappointing. I left a comment in their suggestion box.
Now I have to find an alternative - total drag!