Wigwam, the American manufacturer, is known best for its socks, but they also make a big variety of wool caps.
The Wigwam wool cap I have, made of worsted wool, is both comfortable and enjoyable. It also effectively keeps the cold out well, better than some other caps I have worn, especially around the ears. The beauty is that it fits snugly around the head even though it is meant as a one-size-fits-all product.
I used to battle the snow in these babies and I always was pleasantly kept warm. The official name for the one I own is the 1015 model, but good quality wool seems to be a trademark of the entire brand.
As an added plus, this is made in the USA, which is such a rarity these days in the clothing industry. Who better would know about the American climate than an American textile maker?
Wigwam caps keep you warm in the winter and are available at most outdoors shops.