I wear CWX compression tights with Chloe Noel over-the-heel leggings over them. I wear this all seasons for the bottom. For the top I have a running t-shirt with a Chloe Noel jacket. The jacket comes off in the summer.
I love my compression tights- they make me feel secure on the ice! I am not sure if it is a gimmick, or not, but they claim to have knee stabilization built into the tights. They have strategically placed strips of different thickness of material running through the tight, so it gives me a feeling of being supported and "all in one piece" :-) CN stuff is great, too and it fits me well, plus I like the feel of the material.
At the rinks I go to, there is a variety of skating clothes- you will see it all! OTB tights, over the heel leggings, shorts, skirts, etc... Non-skating as well as skating brands... I am in the Seattle area, though and we are pretty laid back around here.
Besides, as my mother used to say- "wear what you like- nobody will take it off you" ;-)