The head is one of the most
important parts to keep warm. The body protects what it considers
vital first, so if the head isn't warm, heat is diverted from
the extremities to protect the control center/brain. This is why
it is often said, "If your feet are cold, put on a hat."
I use a wool headband for cooler temperatures, a wool hat for
cold, and a windstopper skullcap for bitter cold. I have both
wool and fleece neck warmers. These are one of the best pieces
of winter cycling gear. Jackets often don't snug up around the
neck and cold air tunnels in. They also can serve double duty
as a facemask.
A helmet cover designed to block the wind coming through those
(wonderful in the summer) air vents is also very important. I
have a bright yellow one made by Carradice,
which in addition to blocking the wind is also highly visible.
I also have a less garish (black with reflective piping) model
The final touch is a pair of ski goggles, for temps under about
10F. Much above that and they are too warm for me. I have clear
ones since I commute at night. I don't have to deal with my glasses
fogging up when I stop at traffic lights, and my eyes stay warm.
And they only cost $25-$30.