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.