A balaclava. No, not the honey drenched Greek pastry (although I've got nothing against those). But a head covering that keeps me toasty warm in four hour ski races, frigid bikes and wintry runs. Mine is not the Chicago Bears knit variety, but a lightweight, perfectly cut version cut from technical fabric. Mine is from Craft, although I've seen several from other good companies.
Mine keeps my ears warm, my neck warm, my chin warm and my cheeks warm. With exercise induced asthma, I can pull it over my mouth for the first minutes of my ski or run and warm and moisten up the air while my lungs get on board with the training task at hand. Then, I pull it just below my lower lip so the condensation from my breath doesn't freeze into a block of ice.