Gore-Tex, a porous laminate, is the most common and famous waterproof-breathable barrier. Most still consider it the market leader. While you can't go wrong with Gore-Tex, competing products work well enough that most folks can't tell the difference.
Sledding with Kids
Sledding with the kids is a perfect way to introduce yourself to these. If you don't have any kids, borrow some from a friend.
Where to go. A casual day out in the snow usually involves less driving and demands fewer acres of undeveloped land than more serious forms of winter recreation. The classic destination is, of course, a city park, but there are other options. Most commercial ski resorts offer an inexpensive or free sledding area.
I recommend tracking down the nearest National Forest "Sno-Park" (as they're usually named in typical bureaucratic cuteness). You'll need to buy a winter parking permit (pays for the plowing, mostly) but these destinations almost always offer a perfect, mellow terrain for casual days playing in the snow. They're usually not that crowded but previous recreators will invariably have packed down the snow along the most popular routes. Typically (though not always) you can find great forest sledding without needing to bring much more than warm clothes and a sled.
Feeding the furnace. Proper food and beverage intake plays a central role in maintaining your health and comfort in the winter wilderness.
Absolutely bring along enough insulated bottles filled with a warm beverage, like hot chocolate or tea. Also bring hearty, satisfying food that responds well to being chilled. Some famous polar explorers subsisted entirely on sticks of butter, but you don't have to go so hardcore. Candy, trail mix, raisins, and so on make the ideal foods. Hot dogs do not.
Experiment with this: You might consider dividing the kids into two groups, a control and variable, only giving beverages and food to one of the groups. Note how upset and cold the other group appears.
Exertion. Working hard makes temperature management tricky because no breathable shell perfectly transmits your sweat-eventually you'll get wet from the inside. You've got to learn to compensate by adjusting the clothes. Sledding offers a perfect opportunity to (a) work up a sweaty, euphoric lather racing up hill with the sled and then (b) freeze your derriere off sliding back down.
Now's the time to start fiddling with all the fancy vents and zippers on your parka: Open the armpit zippers and lift an arm to let air in. Unzip the collar a few inches. Lift your hat above your ears a few inches. All of these measures both allow evaporating sweat to escape and circulate the warm air near your body.
Exposure. Even on an overcast day, a snowfield reflects a tremendous amount of UV radiation. For that, you'll need shaded eyewear, goggles or glasses. I recommend having both with you for any winter recreation away from civilization, in case conditions change or you lose one of them (though both goggles and glasses would probably be geeky-looking overkill in the case of a casual sledding trip). Goggles provide protection from cold and sunshine. Glasses only protect against the UV.
Bringing sunscreen along is a good policy as well. One time I sunburned the inside of my mouth hiking all day up a snowfield on what appeared a relatively overcast day. I spent too much time breathing hard with my lip curled up and ended up with tender gums. The point is, snow reflects UV radiation massively, especially at altitude, and you can get fried easily.
Mittens are another sound investment. Most people, at first, gravitate toward gloves for the added dexterity. But they don't keep your hands nearly as warm as mittens. And once you get accustomed to mittens, there really isn't all that much you can't do when wearing them that you can with gloves. But if you remain torn between the two, take the middle road with the new "claw"-styled handwear combining warmth and dexterity. Just brace yourself for the lobster jokes.