you read my mind - i was thinking of starting a thread on this myself.
i am rubbish at the layering necessary to operate out and about here in copenhagen. but danish girls seem to get it right, without looking all bulky. hats, scarves and gloves are key, especially if you bike, and i am only just beginning to figure out that its better to have some warm neutral colours instead of lots of bright ones that clash with everything.
i have loads and loads of coats and jackets, because that is what you 'get seen in'. i have ski jackets,vintage furs, tweeds, leather, suede, spring weight, down etc etc. but despite the big rack of them that i own, i still wish i could afford one gorgeous charcoal grey maxmara cashmere coat.