I've been wearing the Isotoner Spandex/Fleece gloves in the winter, specially if I need to be able to do things with my fingers (aka - dial the cell phone).
They're light, well made, thin enough to not get in the way (or snag on a trigger
), yet they are plenty warm enough when you are outside.
No, they aren't going to do you much good in a snow ball fight or for making snow men, but they do have models that range from water resistant to water proof, and some with Thinsulate if you need more warmth.
Most department stores carry them, and they usually run up to $20, maybe a little more for the fancier ones.