A good way to get started in this is to pick a base neutral, such as black or brown, then choose your accessories and outerwear in it. Next pick a couple of colors that compliment one another and mix them in.
An example: this holiday season I started with basic black accessories and outerwear then mixed in white, gray and soft shades of pink for an easy monochromatic look. It's not a hard and fast kind of rule, but thinking in terms of a simple, defined palette has streamlined the process for me immensely.
If you aren't quite sure how to put together a color palette on your own, this site is the place to look: Design Seeds
(Image: Design Seeds)