Make sure you are visible. Winter means that it gets dark earlier. Many of us have to run early in the morning or in the evening after work. Try to wear light colored clothing, safety yellow or neon green shows up really well. A neon safety vest is also a good option. Most running clothing has reflective patches on it or you can purchase reflective tape to add to your shoes, clothing, etc. And carry a light with you. This makes you more visible to traffic and helps you see where you’re going to help prevent injuries. A headlamp with either a strap or that clips on the bill of a hat works well. There are many good options available from your local or online sporting goods store.
Pay close attention to weather forecasts/conditions. Dress like it is 20 degrees warmer and dress in multiple layers. Avoid cotton fabric because it retains moisture and keeps you wet which will ultimately make you feel colder. Nylon helps to keep you dry. It wicks away moisture and extra heat which helps prevent overheating and chilling. Staying dry is the key. Change into dry clothes as quickly as possible after your run.
Cover your hands and feet to prevent frost bite. Wear gloves or mittens and warm socks. Cover your head. 40% of body temp is lost through the head; wearing a hat will help prevent heat loss. Also, consider covering your face with a mask or scarf if it is really cold. If I can keep my ears and hands warm, then I usually do ok on my run as my core typically warms up pretty quickly.
Block the wind – I wear a jacket that is breathable but blocks the wind. It’s important to have that outer layer “shell” protecting you.