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.