The big thing is layers, and do NOT wear cotton. The problem when you're actually skiing you will sweat, and then sit on the lift and get cold, and just back and forth. My first year I just used some cotton shirts/sweaters as layers and it was not fun.
Definitely get some dedicated ski pants and jacket. You could most large stores that sell athletic apparel, even a place like Burlington Coats here in FL has a fair amount of ski wear. Since I'm a student and the wife and I have a limited budget we actually went on Overstock a few years ago and got some good deals, but in general something like this:
http://www.overstock.com/Clothing-Shoes/Sessions-Movement-Ski-Snowboard-Pants-Magic/2895992/product.html
And then a decent ski jacket:
http://www.overstock.com/Clothing-Shoes/Marker-Mens-Celsius-Insulated-Ski-Jacket/4251853/product.html They'll be in all sort of colors of styles. Some have removable inner fleece linings that work as an extra layer, just personal preference at that point. but they'll be water resistant.
Socks: Get some thick wool/moisture wicking socks that'll come up to your calf or so. If anything you're feet will be the first to get cold.
Ski boots: If this is your first time skiing you'll probably just rent the skis and ski boots, and ski boots are not always all that comfortable. We used the rentals for a couple years until we decided that we were really going to be making regular ski trips, at which point we invested in some decent ski boots.....and wow, it made a HUGE difference in comfort level and control. First few times I was just learning so it didn't really matter but if you're going to make it a regular thing you'll probably want to invest in your own ski boots at least.
Skiis: We just rent them. I'm not that good yet to really warrant spending a few hundred on my own skiis, plus we don't to have to transport them. Boots are a different issue, but with skiis you can usually rent decent skiis and most places have a few different performance levels available for rent.
Underclothes: I just went to target and got some non-cotton long-johns to wear under my ski pants. With the thermal underwear and decent ski pants I was fine, even in single digit weather.
Shirts/layers: This is probably the trickiest area. I just went to a sport store and just some short and long sleeve underarmor type of workout shirts. Just a thin moisture wicking bottom layer you can always have on. So when you go back into the warm ski lodge you can take off your jacket and other layers, still have a shirt on, and not be burning up.
And depending on the weather I may have another layer over that bottom on. Again, on a budget here so I just picked up some polyester type long sleeve like fleece/pullover type of things. Something like this:
http://www.target.com/C9-Champion-Zip-Gym-Top/dp/B002JIKXZS/ref=br_1_5?ie=UTF8&frombrowse=1&searchView=grid5&searchNodeID=320862011&node=320862011&searchRank=salesrank&searchPage=1&sessionID=186-2814331-5558120&searchSize=30
or
http://www.target.com/C9-by-Champion-Softshell-Jacket/dp/B002D3CEI8/ref=br_1_7?ie=UTF8&frombrowse=1&searchView=grid5&searchNodeID=320862011&searchRank=salesrank&searchPage=1&searchSize=30
So when it was really cold I had the 3 layers, some sort of base layer, a little heaver middle layer, and then the ski jacket. Some ski jackets have a removable fleece layer that could act as the middle one.
Other misc things:
-Goggles (may not need depending on the weather)
-Gloves (get decent gloves)
http://www.overstock.com/Clothing-Shoes/Scott-Mens-Softshell-Gortex-Glove/4293451/product.html
-Cap and/or helmet: some sort of non-cotton pullover cap, and a helmet, which you'll probably just rent.
-Have a facemask just in case. Last year we went to North Carolina when a big artic front came through and it was below zero with frost bite warnings on the slopes, pretty much had to have all exposed skin covered.
All I can think of for now. Enjoy Vail. My wife grew up skiing out west there, and just introduced me to skiing a few years ago so we've been driving up to North Carolina, which is closer and cheaper for us, but just isn't the same as out West skiing. So in about a month we're going out to Utah for my first time out West.
. They have had about 6" in the last day and are still getting more. Wolf creek in southern CO has had 24" in the last day and have a 77 inch base. They are expected to get a blizzard today!!! 
