I was pondering these thoughts last night as I sat waiting for a moose to magically appear. It was cold, wet and snowy...temps hovering just around freezing so not really cold yet but with the dampness it was cold enough.
No one has mentioned the effect of the wind. It'll draw the heat out of you faster than you can imagine and that's where wool by itself fails, same with fleece. So f you're cold get one of your layers to be windproof, preferably an outer layer to keep the heat in beneath it.
Also even though I don't like them much, hoods will keep you warmer than just headwear. Obviously a hood an a warm hat will be the fest of both worlds.