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1. Whatever keeps your hands warm.
2. Whatever lets you keep shooting.
3. What sheds snow/water.
I love my fleece gloves, but will not use them when I shoot. If I slip on ice, or fall when getting out of the way for a out of control football player, or sit on the ground to shoot and put my hand down in snow, fleece, wool, and any other soft material like that can pick up snow and then it is tough to get off and now your lens, camera, everything will get snow on them, and moisture in winter is bad.
Lowepro use to make a cold weather shooting glove which were made of lycra and were warm, and allowed most snow to fall off of them, but if they got wet, they sucked. I use a pair of neoprene cross country ski gloves I found at REI. I can shoot with them on, but I usually use one on my left hand all the time, and slip the right one off when I shoot, then between plays or as I am moving from one end of the field to the other, I will slip it on.
For colder weather, I like light weight gloves, like wide receiver gloves or mechanics gloves under a ski mitten with hand warmers packed into the mitten. If you can find a non fleece convertible mitten (that has fingerless glove underneath) grab them and pack hand warmers in the mitten part. That is what I would use in -20 degree shooting conditions.