A nice wool overcoat can go a long way. They usually have deep, deep pockets, are warm, and style? Let me tell you about style! Not to mention they usually have access ports so that you can get to your belt from the outside, big enough to pull a gun through.
http://www.brooksbrothers.com/Wool-Coun ... &cgid=0222
Here's a nice 3/4s trench coat that will also work for the cold, cold winters.
http://www.brooksbrothers.com/Wool-Twil ... &cgid=0222
Heck, my old Navy officer's trench coat (or the nice thick wool bridge coat) fills all those needs as well, but the quality isn't the highest. But if you aren't ballin' and need something more reasonable, any port in a storm. It's on sale right now at Orvis for just over $500. And it'll last you a lifetime.
http://www.orvis.com/store/product.aspx?pf_id=4y0r
The nice thing about wool overcoats is they can fit in just about any social situation, from the formal dining to boozing at the Mudduck in Odessa.