Here's two hats I knitted for the kids. The blue one is for the 6-year-old, knitted from a Finnish Novita Nalle-yarn, a basic sportsweight wool. I added a lining to keep the wind out and to keep it from feeling itchy. I've knitted a couple just like it before, in smaller sizes, and adding the lining works great.
The bigger boys wanted just simple stocking caps, black of course. They are almost identical, so I only took a picture of one of them. I'm not sure what the yarn was exactly... a fingering weight wool that I doubled up to get a thicker fabric: