Half the battle is getting an appropriately thick wetsuit that will keep you plenty warm. The second half is making sure to get the right wetsuit accessories to keep you comfortable on those cold, blustery days. Having gloves, boots, and headwear is essential to staying warm, preventing the heat retained from your insulating wetsuit from escaping through your head and extremities. Anybody who has forgotten their booties or gloves on a cold day can attest to how that can significantly shorten a session.
The amount of heat that escapes through your head is up for almost constant debate, but for anyone who has experienced a cold-water swirly, an ice-cold noggin can be unbearable. Make sure to layer properly. A beanie is great for milder temperatures, and far less restricting than typical neoprene hoods. Still, for those frigid waters there is no substitute for a thick hood. For the best effect in wintery waters, wear the beanie overtop of the hood.