I use a variety of headbands which have different thicknesses, thin ones on the warmer winter days and thicker ones when it is cold. I also sometimes use a buff because it's so damn easy to adjust it into a really big headband or full beanie. The buff is also a tight-but-comfortable fit, which holds the ears close to the skin keeping them warm and keeping the wind out. I've never gotten a headache from a buff, they stretch easily so that keeps them from getting too tight.

The only time I use a balaclava is on the really cold and/or windy days, or when it is snowing.