Last time there was a thread like this I wrote a real long reply, and the guy bought some cheap wool thing anyways so I'll avoid doing that this time, lol.

The best I've found is the Cannondale Slice Balaclava -
http://www.performancebike.com/bikes..._20000__400093



The problem I always had was that these things put cloth right over my mouth, then I'd start breathing hard (because, you know, I'm actually exercising) and it would suck the cloth right into my mouth and I couldn't breath through it (especially since it was windproof). This thing is really great because I can rest the front cloth part on my nose and it keeps it far enough away from my mouth that I can breath. And on the warm(ish) days I can just flip the front piece off my face and not have it the way at all, while still having something over my head and ears.