While you may think that the best wind and cold weather running gloves would be the warmest, you actually want to look for a separate set of qualities. You do want a warm pair of gloves, of course. However, you also want a pair made out of microfiber or with a lining that wicks sweat away from your hands, so that you are more comfortable and don't chafe. In addition, thanks to developments in high-tech materials, the thicker gloves aren't always the warmest nowadays. In fact, some very thin gloves can provide excellent winter warmth, so don't dismiss thin gloves immediately. Try them on, as thinner gloves allow you greater flexibility as you run.
Instead of replacing your gloves, try a layering system that will better address your heat issues and keep your hands warm as you run. Try using two pairs of gloves and possibly a warming lotion to keep frostbite and cold out. Plastic gloves can be a good solution for the coldest weather, but may prove to be uncomfortable. By layering your gloves, you can come up with the best level of protection for you. If your hands are too warm, simply remove one pair or don't use the warming lotion the next time you go out.
Where to Buy
It is important to note that running gloves are different from regular gloves in the microfiber, wicking and other materials they use to keep you warm and dry. Therefore, normal gloves that you might pick up at the drugstore aren't the best for running. Buy your running gloves from a specialty running or athletics store, or even online. Many vendors offer gloves that are specially made for running. If you prefer to try on gloves before purchasing, you might buy your first pair from a local vendor and later replace them with the same product purchased online.
Running gloves, while not cheap, will be cheaper than most other items in your running wardrobe. Cold-weather running gear varies in price. In general, the price range for the best wind and cold weather running gloves will be between $15 and $25.