On WINDY days, I wear a Peacoat... it's longer and helps to keep the kilt from blowing up.

On REGULAR winter days, I wear Military "flight jackets" (shown here... http://www.uswings.com/ma-1.asp) with my kilt b/c the are warm and cut very high, so it doesn't cover up all that wonderful tartan. They'll cover the top 3 or 4 inches of your kilt (worn traditionally... up above naval) as opposed to most winter coats which come 1/2 way down your rear end.