If you love working out in the cool Fall weather, but you don't want your noggin to freeze off, you need a thin hat that'll insulate your head but also wick moisture away from your skin if you start to get sweaty.
Merino wool is a great natural material to wear while working out because it pulls sweat away from your skin while it's still in vapor form (body steam). That means your head won't get damp, so you won't get cold.
Smartwool makes a great merino wool cap called the Training Beanie ($19.95). It's made with a double layer of merino wool that's not at all itchy and resists odor. It's soft and comfy and will keep you incredibly warm. The Training Beanie is great for fall runs and can also be used when skiing or riding in the winter.