Katharina Pierini of
Mountain Goat Hats makes lovely handknit merino wool and angora hats, although she's had to cut back production for health reasons. I have one of hers. I'd check out FinallyME's SIL, too!
Two years ago Fred Meyer, a Kroger-owned West Coast store chain, had lovely Sherpa hats, 100% wool outer with an acrylic liner (to prevent itching) for a quite reasonable price. The tag says they're made in Nepal by a cooperative. I bought one--it's really warm! It's now my hat of choice for outdoor wear when it's really cold and windy. I noticed that they still carried these last winter. What I like about these is that they tie under the chin; none of this sliding up to expose the ears bit that happens with a knit beanie.
Of course, if you can find one at a military surplus store, there's the good old Navy watch cap.
These options do run heavier than fleece, and IMHO aren't any warmer.