There is an old piece of advice that you lose most of your heat through your head. It is not literally true, but it points at something useful: your head is the easiest part of you to adjust mid-run, and therefore the most effective way to regulate your temperature without stopping or taking anything off.
Above freezing: a beanie
A thin knit beanie is enough down to around 0°C for most people, and its great virtue is that it comes off and goes in a pocket the moment you have warmed through. Look for one that covers the ears fully — the difference between covered and nearly covered is enormous, and it is usually the ears that end the run early.
Below freezing, with wind: an insulated cap
This is where a beanie stops being enough. An insulated cap with a brim does three things a beanie cannot: it keeps wind off your forehead, it stops snow and sleet reaching your eyes, and the earflaps fold down for the exposed section and up again when you turn out of the wind. On the coldest days this is the single most useful garment we make, and it is the reason a −15°C run can be pleasant rather than survivable.
Any temperature, with wind: a collar
A neck collar is the most underrated item in cold-weather running. It costs almost nothing in weight, it can be pulled up over the chin and nose, and it warms the air you are breathing, which matters more than people expect on a hard effort in dry cold. If cold air makes you cough on hard sessions, this is the fix.
The practical sequence
Start with everything on. Remove the collar first, the beanie second, and if you are still too warm, you overdressed everywhere else. Work from the head down and you will rarely have to stop, which is the whole point on a day when standing still is unpleasant.
See Winter Caps, Beanies and Neck & Face.
