Your head is one of the more sensitive areas to changes in temperature so it's really important to find something proper to wear in colder weather. The hard part is finding a balance, it's very easy to over-cover your head which causes excessive sweating and overheating.
Completely covering your head tends to be overkill. The main issue when running in cold weather is wind chill against the ears. Earbands and headbands are ideal because they completely cover the ears and protect the forehead but don't trap an excessive amount of heat.
The transfer headband from Izumi is an excellent headband. It's elastic enough to be a comfortable, snug fit. It's just thick enough to protect your ears from the elements but it's thin enough to wick effectively. Simply put, it's a great balance of what you should be looking for in headgear. However, if you are adamant about getting something heavier, there is a thermal version available that gives you just that extra bit of warmth without sacrificing too much wicking ability.