Gloves are an essential component of an enjoyable day on the slopes. Cheap gloves will fall apart, don't have very good insulation, or will keep your hands too warm without letting them breathe. With cold hands, you'll end up cold and miserable. Then the whining starts. Then your friends ditch you. Before you know it, your friends have made their way home, with you left on the mountain to fend for yourself and hitchhike home. You don't want that, do you? Of course not! There are bears and ski bums out there, looking for food or the occasional case of PBR.
I use Sno-Seal beeswax waterproofing - it absorbs nicely into most leather products - because it's cheap and effective and leaves the leather breathable (something animal grease waterproofers don't do).
As for the gloves themselves, Kinco makes very affordable lined work gloves. I prefer the pigskin gloves but they have a whole line available.
After you've gathered the necessary components, set your oven to "warm" (or 150 degrees) and be sure to open ALL AVAILABLE WINDOWS. I can't stress this enough; Sno-Seal in your oven is going to make your kitchen smell like chemicals and you want it to air out as much as possible.
Place the gloves in the oven, palm side up. The gloves should be in the oven for no longer than 3-5 minutes; the heat is to open up the "pores" of the leather so it absorbs the waterproofing (and it's much easier to apply when melted).
When you take the them out, if they're too hot for you to comfortably slip your hands into, (obviously) let them cool off. At normal room temperature they should cool down pretty quickly; you want them to still be really warm when they're on. Be sure to leave the oven on, as you're going to need it again.
Open the jar of Sno-Seal. Put both gloves on.
Apply the Sno Seal liberally to each of the gloves, making sure you cover any exposed leather areas.
You can repeat step 3 until the gloves won't absorb any more of the waterproofing; I generally put 3 coats of Sno Seal to a pair of gloves before using them. After each application of the Sno Seal, you're going to want to stick it back into the oven.
You'll notice that with each coat, the gloves get slightly darker (see the before and after picture - the gloves on the left have been waterproofed). By the end of the process, there should be roughly a third of the jar (if you have the 8oz size) gone.