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Layer up rather than buying one really heavy duty ski jacket.
This in spades! Would also recommend that approach for trousers too. A pair of softshell trousers with the option of a base layer underneath is far better than having loads of insulation. Learning to ski is fun and surprisingly easy but when you're not used to the movements, its hot and hard work!
Edit: ^ above advice only applies to typical European skiing weather!
Decathlon or TK Maxx will get you decent stuff for fairly cheap.
Cycling base layers/jacket can do a lot of the rest. Layer up rather than buying one really heavy duty ski jacket.