In your layering system, thermal jackets make up your outer protection. There is a huge variety to choose from but thermal jackets can be split up in to three main categories: Insulating, windproof, and waterproof. Obviously this is a simplistic breakdown as fabrics and technologies crossover, but it helps to reduce confusion for the novice.
Insulating - Can be manufactured from fleece fabric or a lightweight shell filled with either down or synthetic insulation. All three insulating materials help trap warm air, preventing cooling and loss of energy. As a general rule of thumb, the thicker the materiel, the warmer the jacket.
Windproof - Lightweight shell fabric or thicker soft shell fabric that blocks wind penetration but allows the body to breath. Especially useful for helping to eliminate windchill cooling without wearing a heavy jacket. The jacket fabric is usually waterproof but the seams are not sealed, making them only showerproof.
Waterproof - These jackets utilise waterproof breathable fabrics in various weights and knits. Unlike the windproof jackets, the seams on these jackets are taped to make them water impervious.