Seirusly though, folks: headbands rock. The 'do can flow free in the wind as god meant it to. Also, they let the head breathe, so they're great for high-output aerobic activities like cross-country skiing or, for the truly disturbed, cold weather running.
Seirus makes the Neofleece, a heavy-duty headband for those who want their noggin bare in medium to extreme cold. The Neofleece headband is a four layer dip of neoprene and some other insulation inside soft fleece. There's an extra layer over the ears proper, so unlike some headbands the ears really do stay warm.
Inexpensive and does the job, black only and one size fits most for men or women.