Pack layers. Include long underwear, sweatpants or fleece pants, jeans, snowpants, undershirts, long overshirts, sweaters and a jacket. Be sure to take extra socks, which can get soaked in an hour on the slopes. Also take clothes to wear when you're not out skiing.
Wait until you reach your destination to rent equipment (if possible). This will save precious space in your luggage. If you have an abundance of puffy cold-weather wear, consider shipping it to your destination; often the shipping fees can be less than the extra charge on an airline. Also fold or roll all of your clothes to compress them as much as possible.
Pack an extra pair of gloves and hat, in case they get wet or lost. However, if you're tight on space, don't bother with the extras: resorts are sure to have all standard supplies available for purchase. Take sunglasses: At high altitudes, the ultraviolet (UV) rays are dangerous, and an abundance of reflective snow only adds to the glare. Also, before you leave, run a last check to make sure you have all the tickets, ID, money, credit cards and other documents you might need.