I have this one and it works pretty well:

http://www.carhartt.com/products/carhart...1-Headwear-A202

I have a larger head and it is a tad on the tight side, but works. The pull down face mask is nice when things get really cold, although it does fog up the glasses when in use. I'd call it a compromise hat. It's small enough to easily fit in a coat pocket so you always have it with you, yet still warm enough for all but the worst days.

Sometimes, I also pull out this one:

http://www.carhartt.com/products/carhartt-winter-layering/Acrylic-Watch-Hat-A18

This hat is much bigger than the one above. Pretty gigantic, actually. But it pulls down really low past the ears, it is thick, and keeps you warm.

If it is really really cold, I have an old Woolrich hat (no longer made). It's a trapper style hat, insulated with down and fur edges. The ear flaps wrap way down under your chin, and the back comes down to your shoulders. Can't beat it for warmth and comfort. None of that freezing snow blows down the back of your neck with this style hat.