Do you have a costco membership? I found some there a few years ago that are lined with fleece. I still wear them all the time. I was just talking to my mom last night and she said she found something similar there this week. I prefer these when I'm outside walking the dog, but I wouldn't want them for working out (too hot).
Athleta has a line of pants that have a heavier lining for working out outside. I don't know the name because I didn't buy them but they seemed nice.
It depends how cold it is, but I like the Target brand leggings or Under Armour for walking. My older UA pants don't have any pockets, which is annoying.