Winter in Iceland
To pack: Thermal layers (top and bottom), wool/warm sweater, waterproof jacket and pants, beanie, scarf, gloves, wool socks, comfortable walking shoes (ie. hiking boots are great though not obligatory), sunglasses, swimwear, toiletries (shampoo, soap, etc), and a towel.
Pro tip: Wool is my favorite material to keep warm in the winter - keeps you heated but not sweaty, and doesn't smell. Whatever you can get in wool, go for it :) Good brands can be found on Amazon.com, like: Ibex, Icebreaker, and SmartWool.
Note: Please keep it to one backpack (that's what I do) or duffel bag, no large suitcases.