We'll an insulated jacket will be the warmest. Howeve they can be less versatile as tey can be to warm when it's not cold. A shell jacket is a jacket with no insulation which you can layer under to keep warm. They can be worn year round as you can change the layers beneath.
If you want to go insulation there are any number. You don't say where you ski but if it's not too wet an insulated 10k jacket will be fine. Te 10k refers to how waterproof the jacket is. The higher the number the more waterproof.
If you ski somewhere wet then 20k or even goretex may be worth a look.
In terms of brands nearly all will have an insulated jacket so take a look at some which match your price range and see what you like.