When it is cold out, you need to stop heat from escaping from your head, so some sort of knit hat is needed. A knit or Polypro cap that covers the head but that can roll down over the face and neck is a good idea.
Bill’s Choice
I found a great deal on Balaclavas at www.sierratradingpost.com a few years back, and bought 8 of them. I also run a thin Polypro cap when it is cool.