1. Jackets/Coats/Parkas: It's important to have at least one warm, windproof (and water-resistant) winter coat. Your coat should fit with a little room, so that you have room for extra layers if it's especially cold on a particular day.
2. Layers: Dressing in layers can help keep you warm, as well as allowing you to regulate your temperature if the weather changes throughout the day. Wearing a sweater or an extra shirt can really help keep you warm, especially as many buildings feel colder during the winter.
3. Boots/Shoes: Good boots and shoes are some of the most important things for getting the most out of winter. Look for footwear with a deep tread (so it can grip better on snow and ice), as well as insulation, so your feet will not be cold. Keeping your feet (and other extremities) warm will help keep your whole body warm.
4. Gloves/Mittens: You'll need some warm gloves or mittens for the colder days of winter, as well as some lighter gloves for the warmer days.
5. Toques/Hats and Scarves: A good toque (knit cap) or winter hat will be warm, and importantly, cover your ears. A warm scarf will provide additional insulation, and help you protect yourself from chilly winds.
6. Thermal Underwear: If you find yourself feeling cold during winter, thermal underwear is an excellent option. Having this extra layer can make a big difference, especially if you're outside for long periods of time.
7. Snow/Ski Pants: If you're participating in many winter activities (such as tobogganing, skiing, snowboarding, or snowshoeing), you may want to purchase some snow or ski pants. These pants will be insulated, and have a windproof/water-resistant exterior.
Important: Unless you already have winter clothing that you plan to bring with you, the best option is often to buy your winter clothing after you arrive in Edmonton. Winter clothing is often quite bulky, so it's important to account for this if you're planning on packing it with your luggage.