It's said that as much as 70% of the body's heat is lost through the head. Whether or not you believe this cold weather statistic, one thing is certain -- wearing a hat will help keep you warmer if for no other reason than you'll have less skin exposed to the elements.
As for the body's extremities (fingers, toes, and feet), take extra care to keep them warm. They're among the first to experience the effects of frostbite. When it comes to the question of gloves vs. mittens, go with the latter. True, mittens are more bulky, but they keep hands warmer since fingers are clustered together.
And don't forget your eyes! While they aren't necessarily in danger of getting cold, having snow on the ground (if there is any) can actually make the sun's UV rays stronger -- so throw on some shades!