Goes to show that everybody is truly unique when it comes to comfort. I rarely wear more than a 2MM suit, and that's usually only for fall and winter diving in FL. Spring and summer, it's just swimsuit and a rash guard. At times, my main worry is overheating above water.
First, are you sure your wetsuit fits you properly? It should be quite tight. Not tight enough to cut off circulation or restrict movement too much, but just loose enough that it doesn't. If it's too loose, it's not working as water flows through it too quickly. Seals around ankles, wrists, neck, and zippers are really important.
If that doesn't work, you may look into a Thermolution heated vest. This isn't exactly a cheap option, but less expensive than going with a drysuit. It's designed to go under your wetsuit. I've never used one, but have heard some good reviews on the vest.