A large percentage of your body heat can escape through your head and neck, and as such, it is important to keep them protected and out of the elements. There are several different options in addition to the traditional beanie hats, and I will go through what I have used and like to keep in my bag. The nice thing about these accessories is that they aren’t pricey, and so you may just want to give them all a shot to see what works best for you.
Balaclava
While the word Balaclava might not instantly bring an image to mind (not to be confused Baklava, a middle-eastern pastry). Rather, a Balaclava is that ski-mask-hood looking thing that Hollywood burglers often wear. Despite its sketchy appearances in pop culture, the Balaclava is an incredibly useful and warm piece of clothing to wear in the winter.

Most are made of fleece or a synthetic material, but there are also neoprene, wool and other options depending on your budget. I really like the Turtle Fur version, which is fleece all around, and a reasonable $24 (keep an eye out for sales though).
Face Mask
Like the Balaclava, there are many different styles and options for a face mask, but the general concept remains the same. They help to cover the lower portion of your face, as well as heat the air that you breathe. While this will keep you warmer, you will need to watch out for the condensation trapped by your breath, both on the mask and your sunglasses/goggles if you are wearing any. Of course, this is easily solved by pulling it down over your nose/mouth.
I like having a hiking mask with me during winter hikes, as it offers another level of protection for my face, and when not in use, I can just pop it down around my neck. And, coming in at usually less than $10 and a few grams in weight at most, its a worthwhile item to keep in your winter kit. This can be used in combination with the Balaclava (some even are offered as a combination).
Neck Wrap
I love wearing one of these when I am out in the elements – basically a fleece tube that you pull over your head and wear around your neck to keep you warm. It can also double as a face mask, as you can pull the front up and over your mouth and nose, although it will be more likely to fog up glasses this way. I personally like the Turtle Fur versions at around $13, but you can often find these in the discount racks or for $<10 if you shop the sales.