You'll find a lot of different opinions on adding a heat lamp, but that's one thing to investigate and make a decision on. Personally, I didn't use one in my first New England winter of keeping chickens, and they made it through (though two of them did have mild frostbite on their combs).
As long as their coop is fairly draft free, their body heat manages to keep them pretty toasty when they huddle up together.
I did find a water heater invaluable to allow them constant access to fresh water. I had a pretty basic model, which is simply a hot pan that the water font sits on; it heats up to something like 35 degrees and cycles on and off so it never gets too hot.
Another thing you can do is use their feed to keep them warm- feeds with corn will help them create body heat as it digests.
Finally, I like to keep my coop floor lined with straw to cut down on drafts (we have a dirt floor in the coop) and give them something to snuggle down into.
As someone else mentioned on another thread, backyardchickens.com is a great resource- you can search breeds there to find cold-hardy options. I have Rhode Island Reds, Barred Rocks, Golden Laced Wyandottes, and Golden Comets- all are relatively cold hardy. The Barred Rocks had the most problems with frostbite, as they have the biggest combs in my bunch.
I've only had chickens since last January (my biggest piece of advice is do NOT get chickens in the middle of a January blizzard- baaaaadddd timing!!), but I have completely fallen for them. They're tons of fun.