One of the types of jackets they used was called a gambeson. It is a jacket with a high collar and it went down as far as the ankles. It is a two layer jacket that you would stuff with insulating materials.
The materials used would depend on what you can afford and your station. A poor person might use a combination of feathers and hay and a wealthier person might be able to afford down.
One of the wilderness survival books I have talks about something similar. The author even said that, when he was a kid, he sewed two sweatshirts together to form a double-layered shirt, with openings at key points so he could stuff the space between with dry leaves. He claims it kept his parents from having to buy winter coats for a few years!