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Down is a terrible material for high-output/aerobic exercise. Although it has the warmest warmth to weight ratio, it loses it's ability to insulate when it gets wet. As sweat permeates through the fabric, the down will lose it's loft (i.e flatten out and eliminate the air pockets between the fibres which hold in the heat) and you will get cold.
For running, you want as breathable a layer as possible. Moisture/sweat management is one of the most important factors since it's the sweat next to your skin that makes you feel so cold (water is a poor insulator and will quickly cool off from the outside temp and suck the heat from your body - this is why your body sweats when it's hot out - to keep you cool!). Merino wool is probably your best bet - not only is naturally breathable and wicking, it actually maintains it's warmth when wet. Plus it's odour-resistant. This should definitely be your next-to-skin/base layer, and you can also get heavier-knit tops to put over top of those for your midlayer.
For wet/windy conditions, a shell on top of your wool layers may still be necessary. Softshells excel for this, as they are far more breathable than your typical hardshell (even big-name "breathable" hardshell materials like Goretex or eVent. BTW, in reference to ZooLoo's post, I believe the dryQ Elite line uses technology licensed from eVent which is why it performs so well.).
If you are running in the extreme cold and absolutely need a heavier level of insulation, stick to a synthetic insulation (e.g. Primaloft is the most well-known, though most companies have their own proprietary versions of it). The best performing synthetic insulators breathe better than down, and also have special coatings to make the fibers more resistant to water so they don't "wet-out" and lose their loft like down. However, these jackets are still not great for venting/breathing, so if you are really running hard, you will find that the sweat will start to eventually build up inside the jacket as it moisture production exceeds the breathing rate of the jacket. Look for smarter designs that use the synthetic insulation in the core and arms, but have breathable underarm panels to vent the hottest/wettest areas. Or just use a vest.
Really, I find a couple of wool layers, a toque, and a light softshell to be more than enough layers for warmth when continuously active, and only use my down/synthetic insulators when I'm doing something that has lots of stops/starts or breaks (downhill skiing, climbing).