Tights for warmth are not the same as tights for compression.
If you want to keep your legs warm while running in cold weather, but you don't want the abrasion of loose fabric flapping about your calves, then you need thermal tights. For example (illustrative purposes only, not a recommendation): http://amzn.com/B0054PDAKI These typically have thicker construction with a brushed inner surface that helps trap a layer of warm air between the skin and the fabric.
If you want compression, most thermal tights will do that to some extent, but tights specifically designed for high compression can be more effective. For example: http://amzn.com/B00591IER6 Generally, the heavier the fiber, the more compression.
Although most brands will generally fit properly if you get the correct size, different people will find different brands to have a better fit than others. I will say, though, that CW-X tights do *NOT* look comfortable, since they are practically unisex. Even for men's tights, there is just one front seam going right down the center, with no place for your man parts. 2XU are better, but Skins are probably one of the best in this regard.
Personally, my preference is for a covered waistband, rather than underwear-style (compare the 2XUs to the Skins A200 http://amzn.com/B0054PD0YO to see what I mean).
How well do they work? For cold weather protection, they work okay. If you sweat a lot in your legs, they won't be as effective--but if you're sweating, chances are you aren't that cold. For compression, it's important to get the right size. If you do, then I've found the 2XUs to work really well so far. They do lose a bit of tightness after a while. They are *supposed* to be super tight. In my opinion, it helps reduce muscle soreness after running--but only if you keep wearing them for several hours after your run.
I can't recommend UA. Their products used to be better back when they focused on a small range of athletic wear instead of pushing the brand, but now I feel like their fabrics are cheap, the tailoring is poor, and the pricing isn't justified. They've become like Nike: it's about brand value rather than creating the best performance wear they can.