Layers are a good way to go, if you're not going anywhere sub-Arctic. You can get very lightweight thermal underwear that packs compactly (silk is good, check out a camping store for other alternatives) and keeps you much warmer than bulkier sweaters/pants. A layering of thermal underwear/long sleeved tshirt/fleece jacket and waterproof jacket, along with thermal underwear under a pair of slacks and a decent pair of warm socks in waterproof shoes would keep you pretty comfortable in most types of weather, including light snow, and you'd probably have use for the fleece, waterproof jacket and long sleeved shirt in most European climates anyway - at least at night. (I think you are traveling in Europe?) Throw in a knit hat and pair of gloves (which you could buy at a street stall in most places in winter, anyway) and you'll be quite comfy.
If you're going to be heading into really cold weather (below freezing for any length of time), then consider checking out second hand stores when you get to the colder climes, and pick up a sweater or heavier coat when you need it. When you head somewhere warmer, you can either mail it back home, or leave it at a homeless shelter or charity (you can get this info from the tourist info offices.)
When I went to Poland in April, many years back, I was shocked to wake up to snow one morning, but I just put on all the clothes that would fit, and managed to stay almost warm enough. I looked a bit like the Michelin man, but it beat freezing. When I finally made my way to Switzerland in late May, I sent home my heavier sweaters and appreciated the slightly lighter pack. Now I take thermals and preserve my freedom of movement a bit.
Another option you may have is to reroute your trip so that you hit the warmer climes in the winter and head north when things warm up a bit (or before they get cold). Of course this depends on your itinerary, but it might be a possibility.
Re: clothes between the seasons
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