You can get thin and lightweight thermal underwear (silk is expensive, but it packs small, light and is warm) and that will easily add the warmth you'd need pretty well anywhere in northern Europe at that time of year (unless you're going north of 60). Mostly it isn't so very cold by then, though it's usually wet and damp and you can get quite chilled outdoors, and vast, unheated stone buildings can get grim. And they can be a blessing on train platforms. Usually, the lightweight ones are not uncomfortably hot when you go inside, so you don't have to worry about sweating to death.
A silk thermal (or there are good compact synthetics too), will take up a lot less room/weight in your pack than an extra turtleneck or other thin sweater, and keep you just as warm. You should be comfortable wearing thermal with a heavy shirt most of the time, and then when it gets nasty, put on a heavier sweater.
Polar fleece is also the travellers dream fabric. It's warm, lightweight (not so compact) and dries fast. Any combination of thermal underwear, long sleeved shirt, polar fleece jacket and a waterproof shell should keep you warm and in almost any conditions you'd meet during that time, again assuming you're not heading into the Arctic circle. We lived in Lithuania for two years, and have endured a fairly long wet winter in Germany this past year, so that's some on the ground experience for you. Usually the freezing and snow don't start until later in December/January, but even those layers will tide you through small snowfalls and short freezes.
I don't normally recommend jeans for travelling, but we both have fleece and flannel lined jeans that I just love come late fall. They take forever to dry, but that extra layer of warmth is huge. We also have flannel lined chinos, which aren't quite as slow drying, but are a toasty option on a soggy day. If you could find yourself a pair, you'd probably wear them quite a bit (with or without thermals underneath) so they wouldn't be taking up space in your pack much.
Other clothing musts for that time of year are: a waterproof outer layer (at least a shell, something longer if you have it), waterproof shoes (my husband wore the same pair of Dr. Martens for nearly an entire winter - some days he came home drenched, but his feet were dry). Again they're clunky, but if they're on your feet, you don't notice as much. And the low rise styles are quite acceptable for anywhere you'd want to go. Water wicking socks - wool, or one of those fancy hiking blends. You don't want cold wet feet. Wool do get wet, but at least they still keep you warm. A hat. You can buy one here from a street vendor, if you want to get the latest craze, but you need a hat. A scarf isn't a bad idea, looks okay over a sweater if it's not quite cool enough for a coat, and keeps that neck/head area warm. Gloves or mittens. Strange but true. In Lithuania there were vendors on the street selling wool lined leather ones, for which my visiting father-in-law was grateful when it started snowing in October. Woolen ones are fine too, whatever suits your style. Cold hands and feet can ruin a day pretty quick.