One unfortunate aspect of exercising in cold (ok, freezing in your case) climates is that at some low point, usually around five degrees, all vanity goes out the window and you're forced to wear headgear that makes you look like a bank robber. Over the holidays I was skate-skiing at Giant's Ridge in northern Minnesota and finally broke down and bought Seirus's Thermax headliner ($20; seirus.com), a handy, lightweight, breathable, and versatile balaclava that can be worn as a neck warmer, a helmet insulator, a partial face mask, or a full-on face mask that covers everything but your eyes. The upside is that the mask allowed me to be outside three times as long as I would have been without one. Plus, the Thermax wicked away my breathy moisture that, back in the old days, would have turned my Grandma's hand-knit scarf into a frozen, ten-pound albatross around my neck.
The downside is that the snug mask also made me feel a little claustrophobic and sometimes caused my sunglasses to fog. The balaclava may not scream "sexy ski bunny," but having grown up walking to school with my head wrapped in non-breathable, hand-knit scarves that sagged and froze under all my heavy breathing, Seirus headliners are a vast improvement.
Visit their website for a full catalog of styles.