I would go one of two ways:
1) Liner glove
2) Big Wool Mitt
3) Waterproof Breathable Shell
or
1) Liner glove
2) Puffy Synthetic Mitt
3) Waterproof Breathable Shell
A big wool mitt is likely to be cheaper. However, a puffy mitt is lighter. For particular items:
1) Liner gloves — My favorite now is the Mountain Hardware Power Stretch glove. It is light (one ounce) due to it's no nonsense design (e. g. no leather palm). It has a bit of rain resistance (unlike polypro). It isn't cheap, though. A much cheaper solution is just to get some polypro or wool gloves from an Army/Navy (or other surplus) store. They typically cost less than $10 and work well. Buy a bunch in case you might lose a pair. The main thing is not get them wet. If you think you might, carry a spare. Otherwise, you end up just going with a mitt (and not a glove/mitt combination).
2a) For a big wooly mitt, I recommend an Army/Navy store. It is hard to beat the price to warmth ratio.
2b) As mentioned, MEC seems to have the best offering for the price.
3) REI offers a shell mitt, which I find works fine. MLD has a nice shell mitt (which I use for summer) but you would have to get it in a very big size. Even at that, you won't have the nice wrist coverage of a shell designed for winter use. Outdoor Research Endeavor is a very nice shell; it is similar to the REI offering, but better.
[Corrected the Shell Information (should have read previous posts and done more research)]