Tight under armor, to get rid of sweat, tight fleece, then a baggy t-shirt. Over that I usually throw in a baggy under armor shirt to dry any water that gets to the t-shirt layer. On top of the under armor I wear a baggy fleece, then my sweatshirt. Sometimes I'll throw in another layer somewhere... But you have to be careful to do it right so you don't get all bunched up under.
Sometimes I'll just throw a jacket over it all.