There are two sets of options
Do you want to layer?
Down or Synthetic?
Layering is best, but costs more, and isn't always practical if you're going to work, or restaurant etc.
Down works great, as long as it's not wet out. If it's well below freezing a lot, it's a great option, but again, costs more. But is also way more comfortable because it breathes.
Synthetics are great when the weather is hovering around zero, windy, sleet or rain won't affect their ability to keep you warm much. Here, it's what I mostly use, as we get a lot of wet days at about 32.5 °F
The con is it doesn't tend to breathe as well, so you can get sweaty. However there's a newish class of synthetic puffy called active insulation that is really great if you want breathability.
If the weather is really dicey the ultimate is a hard shell of some sort over fleece / active insulation.