Thin beanie for me. Makes me look ridiculous but my head stays warm and sweat doesn't run into my eyes. Mine's a Nike. I have a pretty massive heeed too but it seems to fit OK!
Berghaus Power Stretch Beanie (other similar beanies are available...)
Warm and thin so can be worn under helmets (cycling, I don't own a running helmet) and hoods easily.
+1 for buff's, but i dont buy original ones £15 each? screw that, there is one (better quality too imo) made by Oxford originals, £15 for 3.
