Depends on the temp. Mittens are best for extremely cold weather because your fingers can feel the warmth of the other fingers whereas they'll get colder faster in gloves, being apart. If I'm wearing gloves and it's too cold, I usually end up curling my fingers to my palm so that there is more warmth.
It depends on what I'm doing and just how cold it is. In general when I'm outside when it's really cold I'm doing something. That almost always requires gloves. If it was cold enough where mittens where the thing to wear I would almost certainly wear gloves inside them.
Now that I think about it...I don't think I've ever owned mittens before. I imagine it's a great way to keep my fingers warm by being able to keep my digits close to each other.