Mil-Spec Monkey recently introduced their MSM MultiWrap. I have have used similar products for years and found them to be very useful as a head covering in both cold and warm weather.
MultiWraps, and other similar products, are basically just a tube made from thin, stretchable polyester fabric. You’ll find tons of different ways to wear them depending on the conditions your find yourself in. They wick moisture fairly well and insulate just a bit when it is cold. The material is thin enough and flexible enough that they fold into a very small space.
I paid a lot more for several of these from a different brand. It is hard to imagine a more versatile piece of gear for $5.50. Check out the MSM Logo MultiWrap.