Before you even leave your house you need to be prepared for the weather in any condition the main one being the cold as you're not going to be shooting in the rain but it can get very fierce especially here in the UK. Some of this may seem self explanatory but the amount of times i've seen people come out not prepared for the worse and be begging to go home because they are too cold. Here are some essentials that I usually take out with me, some of them stay in the car but if you need them they are there.
Thermals
Just as a bottom layer it's good to have thermal everything, pants, top, socks. Stays thin and keeps you warm.
Trousers
All about personal preference really, I prefer a good pair a good jeans, thick enough not to rip, also quite warm. I wouldn't suggest jogging pants or thin trousers, they need to be durable.
Coats
Wear a T-shirt and a Jumper or a Hooded Top on top of your thermals but then you need a decent coat, a one that keeps in insulation, but is not too big so you can't move in it, a decent amount of pockets is also vital to hold your torches, flashguns and gels. I think a good Parker does the job, something with a hood is usually good, but again it's personal preference.
Scarf
There difference a scarf makes, it's the one place your coat doesn't cover, can cover your mouth and nose with it as well if it's that cold. If you wear glasses then it's not that practical because it will fog up them up to breath in to it.
Hats
A good hat will keep you warm all night long, I personally use on of these Russian Hats which I specially had imported for night photography, in winter it is the best thing, keeps me warm, flaps come down keep ears warm, even ties under your chin to keep your whole face warm, in the summer it's a bit too warm but you shouldn't need it or a normal beenie would do the trick.
Gloves
Now this is a tricky one, because most warm gloves are very thick and operating your camera with them on is like making a cup of tea with boxing gloves on. I managed to find these, they are industrial freezer gloves used in the building industry, they are thin are light but very insulating.
Socks
A good pair of socks will save the whole night for you, once your feet go numb the night will become very unenjoyable and you will not be giving 100% and you will soon grow tired and bored of having cold feet an wish to go home, this will mean you are missing out on shooting and possible miss out on some great photos, depending on how far you are from home this may be the only time you are here. Depending what footwear I am wearing I will wear different socks, firstly a thin pair, then a ticker pair, then a pair of boots or shoes, If I am wearing wellington boots then wellington socks are a must.
Boots
A good pair of boots will save you a lot of pain for a start, and help to keep your feet warm and dry, I would suggest walking boots because you actually clock up a good few miles in one night. Also another thing to look in to is, steel toe caps and steel soles, this is mainly in abandoned places for things falling on your feet or worse treading on 6inch nails. A simple small piece of metal could save you a nasty trip to the hospital.
Wellington Boots
They come in every size and every colour and are not expensive, so there is no excuse not to own a pair seen as there are some places that will ruin your shoes, keep them in a bin bag in your car so not to wreck your carpets.
Reusable Hand Warmers
Not your regular bit of clothing, but these can be life savers on a cold night. A gel based hand warmer with a small metal switch embedded within the gel compound. Pressing the metal switch activates a chemical reaction in the warmer and the gel hardens and releases heat as it goes. This will last for about 30 minutes until the gel is fully hard the the heat starts to fade. To reuse the warmer you will need to boil it in hot water for 15 minutes, this will then create another reaction the liquifies the gel in the warmer, it can then be reused again and again in the same way. Seen as they only last for 30 minutes it's good to have enough to last you the whole night.
Masks
It's always good to do your research about chemicals and asbestos that may be in abandoned places you come across, it's better to be safe than sorry. Just a quick lesson in Asbestos while i'm talking masks. There are 3 main types of asbestos - White, Blue and Brown. White is considered the safest asbestos but it is by no means safe it is just the least lethal. Luckily the most common type of asbestos which is mainly found in buildings is white asbestos, still need to protect yourself against it though. The main problems asbestos can cause is Malignant Lung Cancer and Mesothelioma. You can be exposed to asbestos heavily and feel relatively fine for years because asbestos poisoning won't hit you for about 40 years but when it does you will know about it so it is vital you protect yourself while you can. Don't take my word for it though do your research before walking blinding in to these places not knowing your stuff.