Depends on how warm you need the gloves to be, and how much room there is between the triggers. Like Henrique, I really like winter golf gloves. Even if I wear a warmer glove on my left (leading) hand, I'll often wear a golf glove on my right (trigger) hand. I'll stick that hand in my pocket from time to time if it's a little too cold.
If I need warm gloves on both hands, I've found that about as heavy as I can go and still have good manual dexterity (to fumble with the safety, triggers, shells, etc) are gloves lined with about 40 grams Thinsulate. I have a couple pairs of those: Cabela's lined shooting gloves, and another pair by 10X.
Some double trigger guns can be very problematic for cold weather hunting. Just not enough space between the triggers. Options are to have the triggers bent a bit, or if you have a real problem getting your gloved hand between the triggers, do your cold weather hunting with a single trigger gun.
