Salzburg is real real cold in the months of January and February and March. When I was there in the Spring of 2010 it was a colder winter than usual but I think that with the way the environment it may be becoming a trend. Downtown Salzburg is in a valley so all of the foggy, cold, rainy, snowy weather gets stuck or settles sometimes over Salzburg, so it is important to bring the right things!
The MUSTS that I think you need to bring:
* A long pea coat, they are fashionable there and they keep you warm! ( I got one with a hood and I was super glad!)
*Tall water proof boots, but NOT Uggs, or Rainboots if you are looking to try and fit in. Uggs are a hands down American identifier. Make sure they are well insulated and comfortable cause you will do a ton of walking.
*A pair of gloves
*A hat or pair of ear muffs
*A thick scarf (Austria has a bunch of really cute ones, so you might want to wait to buy one there, but they are usually over priced at about 10 Euros or more). Guys in Europe men wear scarves so invest.
*If you bring jeans only bring skinny jeans and usually the darker jeans. Jean leggings are fairly popular once Spring hits.
*Bring leggings even if you only wear them under your pants... Leggings were my best discovery in Austria! But skirts with leggings are seen a lot during the winter too.
They keep you warm, and if you travel to countries that are a little less safe than Austria you can keep your passport in your leggings and now have to worry about getting it stolen, or having to wear a holder.
*Pack like you expect it to be colder longer than warmer. It is always cheaper to buy a few t-shirts and shorts from H & M than pay for jackets, sweaters, and long sleeve shirts.
*Once further Spring comes definitely make sure that you have a good umbrella! When it rains it rains hard and often. Be sure you have a pair of shoes that can be water proof.
*Bring more than one pair of shoes - I walked out 3 pairs of shoes while I was abroad so I would at least bring a few good walking shoes!
*If you like tampons bring them with you - because Austria does not really have tampons with applicators! So if you like the applicator make sure you bring it with you! Plus these supplies are significantly pricy.