I like: darks and neutral colors, fleece that I layer, and a foldable jacket that doubles as rain gear/wind breaker. I look for: hoods (that tie!), zippered pockets, hidden pockets/big pockets.
If you are looking to conserve luggage space: socks, gloves, and hats/winter headbands - are very helpful. I just bring the super-cheap magic gloves in case I lose one.
I also pack a scoop of powdered laundry soap- if you can still find it.
You can also wear layers when flying, if you are.
For brands, one I love right now is Uniqlo. They have many Disney themed items, and are overall reasonably priced.
Still one more option to consider: a trip to either the outlet mall or Disney Springs. In DS, there's a huge Uniqlo store, with a wide selection of items. T-shirts run $15 or less. They have a line called "AIRism.' that is meant for layering. It is super light and compact, and they make easy washable AIRism underwear. They also have a new thermal version of AIRism, but I haven't tried the thermal version.
Bonus- if you have an AP, you get 10% off at many DS stores. (but not Uniqlo)
I also always pack multiple tank tops. If rolled, they take up little space, and don't wrinkle. This year, I haven't found ones I love as much as in past years, but Target, Aeropostale, and Old Navy/Gap come to mind as places that are sometimes good places to find them.
For higher quality stuff, sometimes LLBean has sales.
If you are going to Universal, they sell HP themed knit scarves. Additionally, the HP robes are crazy $$$ (over $100), but they are long+have a hood, and do provide some warmth.
Inexpensive leggings can be warn solo or as an underlayer.