As a vancouverite, you should be ashamed you're asking this question
In all seriousness, if you are new to this world, I suggest hitting the Broadway corridor between Main and Cambie. You'll find a lot of the 'regular' technical lines in Hendrix's first post and can handle different jackets - you have MEC of course, and Valhalla for example is a decent store carrying several brands. That said, if you don't want to look like every other sloppy Vancouverite in MEC, do as the previous poster suggested and hunt down Veilance on sale. Actually, try the Arc'teryx outlet in North Vancouver or give them a call first and see if they have any Veilance at the moment.
I don't get cold easily, so asides from some days in Jan or Feb, layering with just a shell is fine.
The slippery slope will continue when you start looking at the more obscure stuff that a store like Haven carries (they don't have a lot of stock in the Vancouver location though).