Once you've dressed your body for a winter hike (in layers of base, insulating, and outwear clothing), it's time to think about covering your extremities. Don't forget to brush up on the symptoms of frostbite and hypothermia, too, so you'll be able to recognize -- and treat -- the signs of impending trouble.
The myth that you lose 40 to 45 percent of your body heat through your head is still being trotted around, but the Wilderness Medicine Newsletter debunked it years ago. (Doesn't this make sense? If you really lost that much heat just through your head you could take a winter stroll in swim trunks, and still feel comfortable as long as you had a warm hat on.)
The experiment published in the Wilderness Medicine Newsletter showed how much body heat you lose depends on how much of your body's surface area is exposed to the elements (as opposed to strictly whether or not you're wearing a hat). That said, taking a hat (or hood) on and off is, hands-down, one of the easiest ways to adjust your layering system and stay comfortable while on the move in cold weather.
Personally, I prefer wearing a tightly knit or woven wool hat; I can always pull my weatherproof shell's hood over the hat for extra protection. If the weather is relatively mild I'll swap the wool hat for a thin balaclava; if things get really cold I'll use the balaclava as a liner layer, then pop the wool hat on over it.
Keeping my headwear system simple (two layers plus a hood, absolute max) means less worry about juggling (and maybe losing excess layers). It also means everything fits comfortably under a relatively streamlined hood; if I tried to pack three different hats on my head, I'd have to go up a jacket size.
Balaclava or Neck Gaiter
I jokingly call my neck gaiter a "neck gasket" because I can use it to keep everything from my eyes down warm, closing most of the gap left by my winter shell's hood. (A neck gaiter is a somewhat loose fabric tube that you wear around your neck, sort of like a turtleneck sweater, minus the sweater. You can pull it up to cover your face or, in a pinch, use it as a makeshift hat.) You can use a balaclava -- think a neck gaiter with a hood to cover your head -- for the same purpose.
A neck gasket covers relatively little surface area, but it's one of my favorite comfort items in cold weather, because nothing is more annoying than a cold draft creeping in through the collar of your jacket. Neck gaiters are invaluable for sealing the chinks in your armor if a cold wind kicks up or the snow starts flying, and they're especially important if you wear a soft-shell jacket without a hood, because the gaiter shields some of the real estate on the back of your neck that a hood would normally cover.
The same basic layering principle applies to your gloves, with the added consideration that you want to maintain some level of dexterity. After all, your gloves aren't going to keep you very warm if you have to take them off to zip your jacket or get a snack out of your pack (eating regularly is an important part of exercising in cold weather). Once your hands get cold and wet from doing such chores barehanded, it'll be that much harder to warm up again.
My preferred system is: Lightweight wool or synthetic liners that offer full dexterity, followed by an insulated, weatherproof -- or at least water- and wind-resistant -- glove that offers me enough dexterity to zip and unzip my pack or a jacket. If your hands get cold easily, you might prefer using insulated mittens instead of insulated gloves. (If they fit well, you can still work a zipper with a little practice.)
I do own a pair of overmitts to add as a final, exterior layer in really cold weather, but I very rarely use them because my enthusiasm for long hikes starts to wane at about 0 degrees Fahrenheit.
The basic principles of layering apply to your feet, too -- in fact they're especially important because getting wet, sweaty feet on a cold-weather hike is a recipe for misery and possible frostbite. But good hiking boots won't be large enough to pack in infinite layers of socks (if they were, they'd be far too big when worn with just one layer of socks). Pack too many layers of socks into your boots and you'll actually make your feet colder, not warmer, because you'll cut off your own circulation.
When temperatures are around freezing, I'm usually happiest in a pair of medium-weight wool socks in a pair of waterproof/breathable boots. But I always bring at least one extra pair of socks, and as temperatures drop I'll add a thin liner sock beneath the wool socks and upgrade to heavier wool socks (in that order) to keep my feet comfortable.
Although I prefer hiking in lightweight footwear during the warmer months, and I can stretch said footwear into the fall by wearing warm socks, even I have to admit that sturdy, waterproof and breathable boots are appropriate for winter use.
The waterproof/breathable membrane acts as light insulation, although once temperatures dip to about 0 degrees Fahrenheit (-18 degrees Celsius), I appreciate an actual insulated boot. (I haven't found a pair of insulated boots that I really enjoy walking in -- mountaineering boots are actually the best so far -- so once things get that cold, I tend to enjoy staying inside.)