You've gotta layer. The general rule is that you have a wind/waterproof outer layer, a moisture-wicking inner layer, and then mid-layers that trap heat. Don't forget a warm hat, gloves, and socks. I have to emphasise this because it's easy for someone coming from warm weather (I moved to New England from Hawaii, myself) to think you just need to toss a big coat on top of your fall outfit, but that won't be enough for the really cold days and you'll overheat on the slightly-less-cold days.

If you're just going from your car to the grocery store and the weather is clear, not too far below zero, and not very windy, you can probably get away with like a long underwear/undershirt, heavyweight pants/flannel shirt, and a lined vest. Depending on the style of collar your vest has, add a scarf. But I always take an actually good coat in the car even when I don't plan on needing it. Lots of reasons you might have to get out of the car for a while.

If you're actually walking to and from places, you need a good coat on top of the basics. Cold is cumulative, an outfit that's good for fifteen minutes is not gonna be good for an hour. And then there will be weather where even the short walk between the store and the parking lot requires proper bundling, like when the wind whips up or there's any kind of precipitation.

EDIT: I also want to mention that I never had issues with SAD, but some people do. You can get special lamps or light bulbs (not the same as the "daylight balanced" ones) that are designed emit more UV to stimulate the hormones that some people have shortage of during the dark months. They're more expensive, but the folks I've known who experiece SAD swear by them.