Double Layer Beanie
I bought one and after I got it I bought two more so I had this hat in every winter coat I owned. It is very small when not in, but is very warm and fits my cone head perfectly. I have a hard time finding hats that fit well. This hat does.
After doing some research, I decided i'd try my first wool garments for the cold season. I had my doubts about this hat because it looked so thin and lightweight, and it is. But it keeps me super warm! Icy wind bounces right off of it, and when it's not that cold (around 50 F) you get hot, but not uncomfortable and sweaty. I used to be the guy sweating away in a thick cotton beanie debating whether I should take the hat on and off constantly or just deal with it. Plus if you scrunch it up it takes up no more space in your pocket than a golf ball. This thing is awesome.
Light weight, merino wool combined with the neck gaiter keeps me at just the right temp!