Yeah, thermal long johns, a thermal vest. A couple pairs of good thermal socks. Ski pants, a jacket, a hat and some gloves. Pretty much what you would expect. Are you planning to hire skis/boots etc while you are over there?
I go snowboarding and usually get my stuff from these guys:
http://www.snowandrock.com/
Their surrey superstore is about 15 minutes up the road from me. Might be worth a visit as the things in the store are normally cheaper than on the site, especially in the sale. Got a pair of boots that are full price on the site and they had 40% off in the store.