My favorite kind of winter hat is a real fur trapper hat with the ear flaps that can either be worn down or buttoned up. Where I live the winters can be absolutely brutal and I like the ability to choose how much of my head I want covered without having to switch to a different hat.
As a guy I find a lot of hats are designed to look more slick and while the hats look nice I just don't find little knitted caps very warm. Give me some leather and thick fur any day. For those who are into saving the animals, faux fur works just as well as real.