Castelli Diluvio Shoecover
These Diluvio overshoes from Castelli cost a bit more than most but they're warm and well made.
Like many others, they're 3mm neoprene which is thick enough for plenty of insulation. Just as important for keeping your feet warm, that neoprene extends well over the sides and round to the soles. You get a hole for your cleat, of course, and another at the heel for grip when walking to and from your bike, but that little bit of extra coverage compared to a completely open-soled overshoe makes a big difference.