For cold days, I have a Wigwam Mills worsted wool watch cap that I wear.... It's one size fits all, but it's still a little tight (I haven't worn it that much yet to stretch it out) but it's very warm.

To keep the sun off me, I sometimes wear a Boonie Hat made by Rapid Dominance. This had folds up real well, but keeps it's shape. It's good for rainy days as well and is part of my rain-day weather kit.