I have a pair of mittengloves as the Mrs. calls them. Their gloves with the ends of the fingers cut off and a "hood" that pulls up and over them to form a mitten. Keeps your fingers warm till you need them, then you don't need to pull the whole thing off. You should easily find them an hardware/building stores.
rogueish uses the same mittens that I have. They work well. Another choice if it's not too cold is liner gloves, which can be picked up at any good outdoor equipment shop. Liner gloves tend to be fitting gloves, which makes it a lot easier to manipulate shutter controls, and to operate your light meter.
I use both. That, and pockets I was up at the Athabasca Glacier (Jasper National Park in Alberta) on the weekend, and it was pretty darn cold - I think it was -7 to -10C, with a howling wind. Since I was only about a hundred feet from the car, I made due with my pockets. Thank god for heated seats in the car tho
REI carries gloves that are bloth fingertipless gloves with a pull over sleeve to turn them into mittons. They have rubberized pads so the thumb can still adhere to things. They are great. Warm, and convertible so that you can use the fingertips without the interference of the gloves. I will try and remember to put in the link in a while.
Being a snowboarder, I use my spring gloves (aka pipe gloves). They are thin, warm , and have grippy palms and fingers (so you don't drop stuff). http://eternalsnow.com/gloves_sprA.html And if you look at the ones they have here, you can get some in hot pink!!! -Grant
I also like those convertible mitten/gloves for cold weather. I've used a couple of varieties but I like the ones sold under the Campmor brand because, unlike some others, the thumb also flips back exposing that rather important opposable digit.
If you can find them, the best gloves I've found are air force pilot's gloves. (the ones with a metal cuff to lock onto a pressure suit) Just cut off the cuffs and your good to go. They are thin enough and flexible enough to pick up a dime, so there isn't much on a camera you couldn't manipulate with them on.