Anything you want.
I recommend thermal leggings. The lightweight, polyester ones are best. I know you'll be tempted to wear something heavier, but if the weather is cold enough to warrant that, I'd invest in some bib overalls or ski pants to go over your jeans. If you're indoors, you don't want to have to take your jeans off to remove heavy undergarments, or risk sweating through them.
For underwear and thermal leggings, avoid cotton. These will soak up any perspiration like a sponge, and will freeze you when you stop sweating. I also recommend polyester undershirts. Cotton (especially flannel) is fine for clothing that won't touch your skin.