Full overhead face and neck:
If you are one that tends to get cold easily, this might be a good choice for you. Usually these are made with a thicker material than others, and they are more or less a hood that pulls over your head and offers full head, face and neck cover and warmth. Keep in mind they can be bulky, especially if you wear a helmet.
These are a smaller option that just covers the face. Usually they use a velcro fastener that wraps around the neck. Very similar to the look of a bandana, but heavier material (usually fleece).
The best option for people that do not get cold easily, but want some protection from snow, wind, and extreme cold, is the neck warmer or neck tube. These can be found in a wide variety of materials and thicknesses. It can be pulled up over the face, or kept under the chin to prevent draft down into your jacket. The neck warmer is the most unobtrusive and comfortable of the three, and is an easy thing to keep in a pocket to use as needed.