I've worn this thin Castelli hat in various conditions. I didn't expect it to be good for under 35º, but it works for me.

I've worn it without a helmet (while walking and whatever) and under my summer helmet. When it gets cold out, I wear a ski helmet with this hat or something else under it. If you don't have a ski helmet, consider it. It was transformational for me when I got it last year. Some very painful days became no problem at all.