I cannot think of anything worse to wear under your snow pants than jeans.  Personally, I's rather snowboard in the buff than wear jeans underneath.  If you are flat out broke you can try sweat pants.  Sweats are typically either 100% cotton, or a blend like 60/40 cotton/poly.  Steer toward the most poly percentage for best comfort.  Reason being that cotton absorbs water like mad and doesn't let it go.  That can make for a bad time on the slope.

Sure, since you are skinny, you will need a thicker material for your base layer (tech term for long underwear) than a heavier dude -- especially on those cold days.  You commented about how thin the stuff is.  If you are not experienced with technical base layer garments, you will be shocked to discover how warm that stuff can be.  The warmest stuff is labeled "heavyweight" or "expedition" weight.

Price ranges vary.  From $15 for Wickers to $60 for The North Face and Burton.  Hot Chilly's is a mid-priced brand that is very well respected, coming in at about  $30.