Just remember. You can be wet or you can be cold, but you can't be both at the same time. That leads to hypothermia.
Excellent point, potentially life saving point. To elaborate on it a bit more...
In
cold wet weather, avoid cotton at all cost, as it's useless as an insulator and gets heavy when wet (poor wicking material). Wear wicking fabric snug to skin and layer up with fleece or wool. Wind is also your nemesis under these conditions, so your top layer should be a wind breaker of some kind.
You lose much of your body heat via your head so cover the head with a fleece or wool hat, big enough to cover your ears; do not use a cotton or nylon ball cap! Same applies to hands. Fleece or wool gloves.
I don't mind being wet while hiking, as long as I am well insulated and layered with proper cold weather material. I find that even my Gortex coat is not water proof at the worst of times, but it is a good windbreaker.
If I'm well protected via the above rules, my next big concern is keeping my pack dry, so a decent pack cover is recommended. There are ample threads on keeping feet dry or well insulated from the elements, so search out those threads for further information.
As mentioned, these issues are
very dependent on weather conditions and the season you walk in. I only know the Camino in summer, and I loved wearing light cotton during the hot, dry days of walking.
Growing up and living in a rain forest climate most of my life (coastal British Columbia), much of this stuff is almost second nature to me, but I realize it isn't so cut and dry for people not familiar with cold, wet hiking environments.