Just replying to a few of the other comments. I suggested a soft shell because they are low bulk, wind and water resistant and move well and breath well, which is good for cold weather aerobics.
Techwick from EMS is good, yes (I have a few shirts made from the stuff) but it's a shirt, not a jacket. And while EMS carries some good house-brand stuff, I don't think it's on par with REI's house-brand items.
Patagonia absolutely makes some outstanding stuff, and you'd be very happy with anything from them. But they are premium priced and very expensive. It's rare to find it at a good sale price either. I have a lot of outdoor clothing and gear and almost nothing from Patagonia because of the price and lack of sale items. If you can afford it, go for it.
So I mentioned REI because they've really put together a lot of quality products after selling and learning from other brands such as Patagonia. It's not at the same level, but it's arguably not far behind at all. And because they don't need a middle man to sell it, you've got a lot of great prices md and options for sales.
Or you can head down to the local sporting goods store and pick up a cheap softshell or running jacket that'll likely be just fine.
My two cents.