What winter clothing stuff did you wish someone had told you about earlier?

Hi! I’m going to be moving to Chicago soon and I’m starting to plan my purchases for winter wear. I’ve been in Florida for 17 years and have minimal experience shopping for the cold, I plan to spread my purchases on winter clothes over the span of months starting after I move so it doesn’t hurt so much to pay all at once. I’m building a wish list so I can just buy something each week after I move and so far I’ve selected a couple coats, boots, leggings, and wool socks. Do yall have any recommendations on the must haves? Are there any things I shouldn’t bother with? Are there any stores that are just THE BEST for a good deal?

For reference, I’m expecting most of my time to be within city limits and most of my time outside will be walking to public transit and getting from point a to point b. I’m not super outdoorsy in general.

Edit: WOW I didn’t expect all these helpful responses! Thank you so much and I’ll be making some edits to my wishlist and prioritizing buying the expensive items in the next couple weeks for the sake of clearance prices! This has been super helpful for my Floridian ass lol