As the temperatures begin to drop, maintaining your body core temperature becomes even more important. One of the easiest ways to accomplish this is to wear a beanie. On average about 10% of body heat is lost through the head unless it is adequately insulated.
I’ve worn several different brands of beanies over the years; everything from polyester, synthetic, cotton, fleece and wool. The material I have found to work best is wool, whether that is 100% wool or a Merino wool. Merino wool tends to be more comfortable (less itchy). The nice thing about wool is that it can get soaking wet and still keep the temperature of your head regulated.
One of the companies I have found that excels in cold weather clothing is Black Diamond.
The beanie that I have found to be the most comfortable and able to keep my head insulated in cold/wet weather conditions is the Black Diamond Torre Wool Beanie. The Torre Wool Beanie is made of 50% acrylic and 50% merino wool. By using these materials the beanie has a nice slim fit, yet is not too tight. It also works well under a helmet for skiing or with ear-pro for shooting in cold weather.