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Many winter multisport races require some type of skiing - cross-country in 'tracks', skate skiing, or just basic alpine skiing (rare) on-piste, or telemark or back-country touring / cross-country off-piste. Having the right gear for the right race and conditions is critical, as is knowing how to use it. Find out as much as you can about the race you'll be doing to see what type of gear might be best.
I've tried to divide the information below up logically - but there is a great deal of overlap on most sites, so look around a bit to find what you need.