I live in the Upper Midwest, and our winters aren't as rainy as those of Seattle, but they are cold! I have found the best option for warmth to be silk underwear. You can get it in various weights for various amounts of warmth. I like it because it lets your skin breathe and isn't bulky.
Another thing I really like is Cuddl Duds. They aren't as breathable as silk, but on the coldest days, they are what I wear, and they keep me warm.
When you look for long underwear to wear under tops, be sure to keep in mind the neckline. One year I made the mistake of buying a long underwear top with a crew neck, and I could wear it under hardly anything because the crew neck kept peeking out under my shirt neck. I look for a very deep v-neck in long underwear tops to avoid problems like this.
You can also get very fashionable with hats. I have a cashmere beanie and two woolen berets that are incredibly warm. The red beret in particular gets a lot of compliments!