Converting your knitting time into the production of the warmest possible hats, scarves, mitts, and socks is a really good idea when you are working your way through a seriously cold winter.
Ravelry, for your browsing convenience.
note: my green hat is improvised from handspun yarn, pattern not yet available but coming soon! and the details on my twined mitts are here.
A Warm Knit Primer
After you've dealt with coverage - open-tipped handwarmers will never be as warm as actual mittens, for example - there are two ways to get a warm fabric. One is fiber, and the other is technique.
The first rule of warm fabric is that thicker is better, so for cold-weather knits pull out your bulky yarns and hunt up some very dense stitch choices - cables combined with ribbing, for example.
Look at doubling up your yarns, or stuffing unspun fiber into your stitches as with a thrummed mitten. Another option is twined mitts or hats - this approach to twisting two strands of yarn between each stitch produces a very dense fabric that traps heat in toasty little pockets all over the wrong side. Fair Isle and other stranded knits, with their yarn floats running along the wrong side of the work, are also an excellent choice.
Look at reducing your needle size too - the smaller the space between your stitches, the warmer the fabric will be. And remember, when it comes to making the spaces smaller, nothing beats felting your fabric.
Wool is warm, but it's not the warmest fiber you can choose.
If you have the disposable income, you can go for qiviut: it's 8 times warmer than wool and about as much more expensive. Sometimes you can get it in a wool blend, which is good compromise on price and function because qiviut has virtually no elasticity and wool has plenty to spare.
Angora is affordable but still a lot warmer than wool- 6 times warmer, in fact. It can also be blended with wool for elasticity. I like the merino/angola blend from Toots LeBlanc.
Alpaca and llama yarns are at least 3 times warmer than wool, and I've seen stats saying it's up to 7 times warmer. Bonus: alpaca can absorb a lot more melting snow than wool, before it sinks all the way through to you.
Other yarns that are at least as warm as wool - if not warmer - are mohair, silk, and cashmere. Isn't it nice that silk and cashmere are so very soft? I love that kind of a bonus.
A word about silk: I was always told that cashmere-lined leather gloves were the warmest dress-up option for your hands, but this winter the snug fitting silk-lined suede ones I bought from Madova in Italy for driving (link for online shopping provided) have been keeping my fingers more than satisfactorily warm even at temperatures just below freezing. And that's especially interesting because...
The tighter the fit, the lower the insulation. Air traps heat, you see, and the less there is of it between you and the elements the less opportunity there is for heat to build up. That goes for the fiber itself: hollow core fibers trap more heat.
Choosing looser hat styles like slouches and roomy berets (just add in a little length before you begin the decreases) is a great way to trap heat around the top of your heat.
And if you spin your own yarn or have access to a very generous someone who does, look at using some of that. It's no coincidence that the picture at the top of this primer of the warmest knits I own are both made from handspun: when you spin by hand, you build air pockets right into the yarn.
These tips may come too late for you to use this winter (forgive me if I hope so, because I'm so done with this much cold) but with luck it will help you be better prepared for the next one!