I see that the replies are burning up the board -- consider the winter riding forum. I have no great guidance -- I bought a balaclava at Costco for about $10, and so far, so good, though not perfect. Things to consider:

Fabric/ material: mine is polyester fleece, which is gentle on the skin, but will probably start to smell soon enough (I think it is anti-microbial treated, though?) I imagine there are merino wool ones, if you want to spend some money, and they're probably excellent.

Fit: one issue with mine is that the eye hole isn't as big or stretchy as I would like -- I don't like to cover my mouth/nose generally, but I like having the neck and side of the head covered. I could really go with a neck gaiter and hat, I suppose, but one thing is less than two things ;-) the net result is that sometimes the top slides down towards my eyes, forcing me to reposition.

Wind: Unless it incorporates some kind of wind blocking layer, most will just pass the breeze through. If cold and windy are the issue, look for windproof.

Talk to other cold weather sports aficionados. Snowboarders, skiers, climbers, etc...