I use a pair of basic Nike running gloves (the thin type you see in all the commercial running shops).

To be honest they generally do the job for me 90% of the winter... however i pair them up with a big pair of skiing type gloves when it gets really cold.

On a vaguely interesting note, my coach is really big on preventing suffering/injury through the cold.... basically between the autumn and spring road relays (ie between late september/early october, and end of march), we are generally expected to turn up to training in long sleeves and bottoms.