The essence of dressing to enjoy the cold is making sure you are dry and comfortable. Some parts of you may never be completely warm, like your hands. You can protect them just enough to reduce the cold without losing dexterity, or go the other other way for maximum warmth, but don't expect to practice your sign language.
Insulation of all types works by isolating surfaces so heat loss is reduced. This can be achieved with very dense materials, like closed-cell foam or wool felt, or 'puffy' construction that resembles a quilt. The amount of loft or dead air space will determine the warmth value of your handwear.
Please note - any kind of temperature rating system for outdoor clothing or accessories is inherently flawed, since a couple can be at the same Chicago Bears game wearing the exact same outfit and one will be sweating while the other freezes. Your own experience will always be the best predictor of performance in gear.
Gloves are available in two major styles, either shelled (multi-part) or monolithic (same material throughout). For example, basic work gloves with a single layer of leather are monolithic. The same glove with an insulating lining is shelled.
For skiiing, make sure you have shelled gloves, since you will have contact with the snow, and you need to be able to shed it quickly and easily.
Shelled gloves will generally have greater wind- and -water resistance, and frequently are waterproof-breathable. Synthetic insulation will help keep heat in and a lining will pull moisture off the skin, keeping you drier and more comfortable.
Lofted insulation is the best for flexibility, warmth-to-weight ratio, and wet performance. However, the batting must be enclosed in a fabric shell with a lining to work effectively. The majority of Ski and Snowboard gloves fall into this category. Some are simply windproof and water-resistant, but most are waterproof.
To achieve true waterproofing, all the seams on an item must be sealed, whether it is a dry bag, jacket, or gloves. The catch with building insulated seam-sealed gloves is that the lining must be attached to the shell without compromising the seams. The result can be fairly bulky, but you have stick-your-hand-in-a-bucket protection.
The classic method of keeping hands warm is a glove system with a shell and liner. The shell may be waterproof and the liner will be knit or fleece. This can be a great choice for utility because you have three options with less bulk in you pack or pocket, and the shell can be cleaned and the parts dried more quickly and easily than if they were combined. Compared to a glove with high-loft insulation, however, you will have less dexterity from all those layers moving against each other.
As good as many gloves are at keeping your hands warm, when you isolate your fingers for dexterity, they lose their ability to warm each other. This is why mitts are still the best choice when your only concern is warmth. For people under the age of six, they make Mom or Dad's life easier. For everyone else, mitts are great on a sled, sleigh, snowmobile, or just sitting in the stands, and will always win for snowball making.
Features and price
You should expect that a more expensive glove will have better materials, fit, and performance, but with careful shopping, you can spot good deals. Leather is considered a premium material because it stays flexible through a wider range of conditions, has good but not aggressive grip, and over time it will take a shape from use. Expect to see leather used mostly on the fingers and palm. Brands to keep an eye out for include Primaloft and Thinsulate insulation which can be very light and warm, and Gore-Tex is still the top of the list for waterproof.
The intended use of a glove will be evident in its design. Adjustment straps and leashes infer a more technical use, elastic gathers and fleece cuffs are easy and convenient. Longer gauntlets provide better protection and overlap with your jacket, but take more time to put on, while a cuff is easy to manage but may leave a gap.
A runny nose is just part of life in the cold, so you'll see softer 'nose-wiper' materials on the thumb, but also possibly a wiper blade on one side to clear your goggles - be careful to look before using either feature.
For maximum comfort, many gloves now feature a pocket on the back that serves a dual purpose. For very cold conditions, a dry chemical heat pack fits in to warm the blood on the back of your hand. When you realize it's getting a little damp inside, opening the pocket will allow water vapor to escape more rapidly.
Deciding on size
Gloves will be sized as Extra Small through Extra Large, but due to construction and design differences, you should try on several sizes and models. A larger-fitting glove will have better insulation loft and internal heat circulation, but a closer fit will feel more secure and dextrous. Keep in mind what you will be doing while wearing them, and be practical. If you are holding ski poles or pushing yourself back up onto your board, perhaps a glove you can remove and replace easily is better than one with a close fit.
Bottom line, the best glove for you is the one you wear. This sounds simple, but if you don't like your gloves and aren't wearing them, or they won't fit in your pocket so you leave them behind, they are useless. Try on as many as you can and pick the pair that works best for you.