One thing it does here in Pittsburgh is rain. So what do people do to keep dry? There are two approaches: Rain capes and Cycling jackets with rain pants. (BTW, much of the content below originated on the Bike Pittsburgh Rain Gear thread.)
If you want to stay as dry as possible in the rain, a rain cape is the way to go. The cape is completely open at the bottom, so you get ventilation that way. There's no comparison with other clothing in terms of sweat -- clothing that claims to wick or allow water vapor out doesn't keep you nearly as dry as a rain cape once you start up one of Pittsburgh's hills.
On the other hand, you will look like a total dork, children will laugh and point at you, the wide cross-section of a rain cape will slow you down and the sides will flap annoyingly above about 15 mph.
It doesn't seem to be possible to buy rain capes locally, even through the chain stores. You have to go online. There are USA manufacturers, including J&G Cyclewear, Cleverhood, and the Center for Appropriate Transport. There are also high-quality suppliers who manufacture in Europe, including Rivendell and Carradice (see Peter White Cycles for a US supplier). If you've got money to burn you can get the true British cape from Brooks (search Amazon for suppliers).
You can wear shin shields to keep your calves dry under your rain cape.
Amazon has links to dozens of less expensive capes. One thing: aside from durability, really lightweight rain capes may not work so well -- you want a little weight to keep them from flapping around so much.
Cycling Jackets with Rain Pants
You'll want a light jacket with zippers or vents in the armpits, because once you start climbing Pittsburgh's hills you'll feel nice and warm (and sweaty), even in cool weather.
Local bike shops have cycling jackets, but for rain pants, as well as better selections and prices you'll probably need to go to Performance Bikes or REI Pittsburgh (also in Robinson), or online. A clear rain jacket and some waterproof pants from Performance Bikes will get you through a lot. REI Pittsburgh also carries an extensive line of rain gear, including Novara Stratos. This kind of thing goes on sale regularly, especially near the end of cold and rainy weather in the late winter / early spring.
An alternative to rain pants is Rain Legs. They cover your thighs, protecting them from rain and cold.
There are many online suppliers. Shower's Pass is popular. Wiggle.com is a discount supplier in Britain; shipping takes a bit longer but the price differential and selection are sometimes worth it. And, just to make clear what's available, the Criterion Cycling Jacket is not to be compared with any other jacket. It's the just the thing if you get a chance to go cycling with Prince Harry.
Cycling jackets, over time, will become less waterproof. You can fix this by spraying them every so often with Scotchguard or Nikwax TX.
It's best to wear clothing that can get wet without feeling clammy and cold. This means avoiding cotton T-shirts in favor of "performance" clothing like, for example, a polyester "wicking" T-shirt. Add more polyester layers or wool for warmth. Or dispense with the polyester and wear fine performance merino wool base layers (Wiggle.com is a good place to find these). These are more expensive, but stay warm when wet, and don't pick up smell (the wool wicks sweat away from your skin, so bacteria don't get a chance to grow and stink).
Keeping Dry Down Below
Some of the information included here comes from the Bike Pittsburgh Message board.
Fenders will help keep your legs and feet dry (and prevent spray from dirtying your back), and keep your bike cleaner at the same time.
Shoe covers stretch tight and close around the ankle, zipping up in back or closing with velcro. A little water sometimes trickles in down your leg, so you might want to combine them with rain pants. Since they're made from cloth and are on your feet, durability is a problem.
Another, cheaper option is to put plastic bags over your shoes, then use lycra wind covers to keep the bags in place.
Rivendell makes canvas shoe covers that are held in place with Velcro and an elastic strap. They will work with clipless or normal shoes.
Winter boots are made to be waterproof, as well as warm. But they are expensive (say $150 or more), and too warm to wear on warm days. They are also heavy and don't look anything at all like regular shoes.
Some folks combine the above with waterproof socks, or just wear waterproof socks alone with sandals, so rain just drains away.