From a fast skimming of this article, it seems that if you are shivering (pretty common in really cold weather if not properly clothed), you can lose over 55% of your body heat from the head. And if not exercising, but have an elevated heart rate due to something like impending panic ("Oh my God, I'm lost in the woods!"), you can lose about 50% of your body heat, again through the noggin. Makes a hat sound good to me...