For cold weather, look for a fitted jacket - nothing that screams eskimo of course where you are buried under layers and can't even see out, more like something that looks made to fit your body. There are sales going on right now with nice looking long sleeve polos and warm jackets - start shopping!
As far as helmets go, I'm a big Tipperary fan but for english, I'm always trying to find a helmet that has a slimmer profile b/c I wear a large and ALL helmets look funny on me - I like to look proportional if at all possible LOL! But you can always get a plain black helmet for arena work and get you a wild cover (tie dye, neon, whatever your fancy) for hacking out.
And very much a yes - conservative colors are in order for lessons but when you go out for a trail ride, ride in whatever colors make you feel good! But then I'm an endurance rider so I go loud when I get outside the fence - my 'conservative tack' (yes I do ride dressage as well and conform when it's necessary haha ) mostly collects dust in my trailer!!