I think what you want is a neck gator, like this maybe: http://www.amazon.com/Moisture-Wicking-Micro-fleece-Running-Sport/dp/B002SFEAV0/ref=sr_1_14?ie=UTF8&s=apparel&qid=1276275977&sr=8-14
A Ranger Joes type of store would probably have a couple to choose from. You don't want any polypro, neoprene, or wool fleece kinds, I'd say -- as far as breathability and heat goes. That's what most of them are, though, because most people get them to stay warm.