Personally, I only wear them, not really carry them (unless camping). The surplus wool ones ARE warm, and great in snow when wet, but I found they're a bit tight until broken in- causing some nice headaches until then.

Last year I found the fleece ones at the Army/Navy. Warm, lightweight, and no headaches! Even wind resistant, which I've found rare in fleece in general. Have to say, a fleece stocking cap is in my BOB and my preferred headgear for now.