I go back to a helmet every winter, even after riding just hatted (which is how I ride in the summer). I do wear a wool cap underneath, but the helmet provides a wind barrier for my dome; when temps drop below 15F, the wind generated by cycling starts to hurt, even through wool. And winter crashes tend to be low speed, slide out affairs; which is exactly what bike and ski helmets are designed for. I've bounced my head off of the ice with and without a helmet, and I much prefer with.