I have an acrylic watch cap that's quite warm. For Christmas I got myself and my wife wool Buffs. The big advantage of this combo for me is that I can keep both in the pockets of my coat with a pair of gloves, so my outdoor gear is largely self-contained and easily adjusts to various levels of activity and the very changeable weather around here. If it gets nasty I can make the Buff into a balaclava, put on my hat, and unroll the hood of my parka on top of that.