The Seirus fleece and neoprene mask is absolutely terrific.
See the type I have, called the Combo Scarf.
I use mine for anything below 40 degrees (F), all the way down to below zero. Mine is now probably 4 years old and the velcro is just starting to wear out at the same time as the fleece is stretching, so I'll probably buy another one soon.
Balaclavas have always bothered me by rubbing oddly against my ears and moving off my face when I turn my head.