I like to dress my hands in layers, just like the rest of my clothing- a thin liner glove, an insulated mitten and a waterproof/windproof mitt shell- some times it's just the glove, sometimes its the liner and the shell and sometimes it's all three. I've never found a "one glove" solution for cold weather
Sitka Ascent gloves
Enlightened Equipment Stronghold insulated mitts (Apex insulation)
Outdoor Research Goretex shell mitts
Thanks for the tip on the EES mitts.