OK, lets get the most obvious one out of the way first:
hailing from Marvel Comics, the Winter Soldier was a brainwashed assassin working for a shadowy Russian agency: The Red Room. Bucky Barnes was the first Captain America’s sidekick helping him fight Nazis during World War II. He was thought dead when a missile he and Captain America where hanging from exploded in midair, (they intentionally exploded the missile so that it would not reach American soil).
The Red Room made a fatal mistake when they sent the Winter Soldier up against the original Captain America, who helped Bucky Barnes break his conditioning and turn on his Red Room handlers.
The most distinguishing characteristic is Bucky’s metal LEFT arm with or without a red star on the shoulder
Making a costume can be as easy or as complicated as you want it to be. A quick trip to an Army Surplus store should take care of most of it. Don’t forget the Super-Soakers for extra fun.
If you do not want to use a store made costume, a left arm can be made with a long sleeve shirt and some ducktape. Carefully layer the tape down the left arm, when getting to the hand I would recommend using a glove and ducktaping over that rather than actual skin. Making removal an easier and less painful process.