A thread after my own heart! I am always on the lookout, because we need gloves about 9 months of the year here. Generally it does not get too far below freezing, but much of the year it is right around freezing or not much above, so good gloves are important. In weather down to around freezing, a good pair of high quality leather gloves with wool or cashmere lining will do very well, but only if it is dry. Water will ruin them. Brooks Brother's made some nice ones, but they are now extremely expensive, and even the small is fairly big (I have an 8 glove...not big hands and the most recent pair of smalls was too big for me...previous pairs had been fine.).
Lambskin Cashmere Lined Gloves - Brooks Brothers
Recently I got a pair of these, and they are quite good. I had a friend tailor them a bit to shorten some of the fingers (it was very easy with a sewing machine and a pair of scissors...there is no lining and it is all very straightforward. Of course, this is not necessary, but great for a perfect fit).
Men's Flurry Gloves | Outdoor Research | Designed By Adventure
They are cheap, warm in moderate conditions, and they are very maneuverable with grippy fingertips.
Another very good pair I found recently were these:
Men's TOOL WINDSTOPPER® Soft Shell Gloves | GORE BIKE WEAR®
They are made by the company that makes Gore-Tex. They are winter biking gloves, which generally make good camera gloves, as they need to be dextrous enough to manipulate brakes and shifters, but still need to be windproof and warm. These ones do the trick quite well and they have a good range of sizing. The palms and fingers are very grippy. They are not quite as discreet as some gloves, given the (ugly in my opinion) palm pattern and the reflective branding, but for outdoorsy work, they are fine. For city shooting, I would tend to opt for the leather gloves or outdoor research ones.
In weather much below freezing, I have not really found any gloves that are warm enough, but still capable of working with an M9. For quite cold weather, I go to these...thinsulate lined fingerless gloves with a flip over mitten:
Norwegian Flip Tops The downside to these is that in order to change certain settings, you need to flip the top over, and then expose your fingers to the freezing weather. You could get glove liners, of course.
For really REALLY cold weather, I stick to the S2 with huge ski mittens...the great thing about the S2 is that you can use it easily in mittens...all you need is your thumb, and the shutter button is responsive to a finger inside a mitten.
P.S. Brad -- I am surprised you got away with fingerless gloves here! Were you here in the summer? Usually the wind will freeze your fingers up within a few minutes if you get a brisk day!