I own a handful of balaclavas for cold weather outdoor activities. Most of them are the basic fleece balaclavas that turn into a snotty mess whenever you exert yourself for any period of time. Constant exhalation into the fabric means mucous and moisture is trapped in the fabric.
I really like my Seirus Combo Clava as shown here. This balaclava has a neoprene facemask covering the nose and mouth with breathing holes that works well to keep your face dry and warm. When I lived in Colorado I used it for all of my winter activities -- including cycling -- when the temps dropped below about 20° F. Unlike other balaclavas, my breathing doesn't feel muffled or hindered by a ball of fabric.
A much warmer alternative is this Seirus Ultra Clava. I prefer something more breathable than the waterproof and windproof lining on the Ultra Clava, but I imagine this works well for extreme cold and wind.
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I've got this balaclava and can vouch for its usefulness. As with any type of apparel, fit is a concern, so definitely try it out in a shop if you can. I tried on a handful and none fit perfectly, but this model does quite a good job!