Here in Wisconsin, warm mittens are a winter necessity. My current system is to use two layers: a soft inner mitten knit in fine yarn under a heavier outer mitten in coarser wool.
Most of the year there is a pair or two of socks or mittens in my work basket. I knit them on four needles in the round and weave together the tip of the thumb and hand. I use wool yarn, the original performance fiber, for active outdoor wear.
See my Mittens Blog for a day to day diary of making a pair of red mittens in fine yarn.