Cold weather demands the right gear. While running in the heat can be just as dangerous as in the extreme cold, your clothes might make more of difference in the winter (versus being well hydrated in the summer).
If you're going shopping, Lululemon makes a nice one that is quite fitted and, for pony tails, has a hole in the back. However, the one that is the best for running doesn't have extra ear coverage, leaving me prone to a cold headache after a long run. In general, look for a close fit and tight knit to help hold in heat. It's nice if the cuff of the glove is lined with fleece, but a glove made entirely of fleece will let the wind right in. And be sure to try on your hat before tearing off the tag, to make sure it really is comfortable. Try wrinkling your brow to see if there are any uncomfortable seams.