yep - had it this morning as it had been warmer here the last week but was again cold (about 29F), so i had forgotten my headband.

the BEST is a windproof headband - i put it on around the neck, then put on helmet, then slide it back up over the ears - i use this for below 30F or so.

i also have a small special "under-the-helmet" skull cap that i wear when it's not soo cold - say 25F to 40F.

but yeah, it's kind of like a headache but in a different part of the head. i think the ears go numb so you feel the "pain" in the head -- either as it's cold too or from the nerves. no idea, but goes away, although it is annoying.