I know what you mean! I'm from MN and I ride all year long as well. Ha ha I also hate bulky winter clothes and am short. I hate feeling like a marshmallow when I'm riding! Ha ha
Personally, I think baselayers should be your biggest focus. I love layering silk and wool baselayers. Silk agaist the skin, and wool on top of the silk. I wear this combination only on the bottom and a wool baselayer on top. Silk isn't the best at moisture management, although still decent, but it is an excellent (and comfy) insulator. I use it on the bottom since my legs usually get more cold and they don't generally ever overheat and start sweating. After the wool layer on bottom, I just wear pants that can comfortably fit over everything. I ride western and don't wear breeches, but in the winter, I do wear athletic pants a lot.
Up top, I wear a wool baselayer with a 1/4 zip. After that I wear a lighter softshell jacket that is windproof and waterproof. For a lot of people, a vest might be a good idea. You might also need another layer in there, depending.. Another wool baselayer (staying away from silk in the event of sweat) or a fleece would be good. I have a very warm core, and if I'm cold while riding, its typically my hands.
For socks, invest in wool. Wool socks are wonderful and perfect for all seasons, but we all know how great they are for winter. Look into the heavier weights.
Gloves.. I haven't found a perfect combo yet. Ha ha Silk liners with Manzella Silkweight Windstopper gloves is what I used last year. They're light and flexible, but warm.. I'm thinking about getting some Columbia gloves with Omni-Heat (think space blankets) for this winter. I have a Omni-Heat jacket that I love.
On the head.. I don't wear a helmet (for shame, I know.. But I don't ride English and just have never worn helmets, I'm awesome at dressing for winter..), but I have an awesome skunk hat that's lined with wool.. So warm! For the non-skunk hat owning population who wears helmets though, I'd suggest the ear warmers that have been talked about or a balaclava. They can be worn with helmets and also offer face coverage. Seirus makes a nice fitted one that I sometimes wear. It protects my nose, but has venting so you can still breathe without feeling like you're suffocating.
I also suggest getting a job at REI, Gander, Dick's or somewhere that sells these things.. Winter clothes aren't cheap..
Employee discounts and promotional plans are your friend.. ha ha
Another note.. For wool.. Always look for merino wool. The scales on the hair shaft are smaller than regular wool, so they're not itchy. Smartwool and RedRam (by IceBreaker) are my two favorite brands.