Essentially - no. The next time you see a George Hrab, a Bad Astronomer or even a Sir Patrick Stewart, feel secure in the fact that they're not desperately looking for a hat to prevent hypothermia!

From the British Medical Journal, by Vreeman and Carroll: Excess heat loss in the hatless in Festive Medical Myths.

As temperatures drop, hats and caps flourish. Even the US Army Field manual for survival recommends covering your head in cold weather because "40 to 45 percent of body heat" is lost through the head. If this were true, humans would be just as cold if they went without trousers as if they went without a hat. But patently this is just not the case.

This myth probably originated with an old military study in which scientists put subjects in arctic survival suits (but no hats) and measured their heat loss in extremely cold temperatures. Because it was the only part of the subjects’ bodies that was exposed to the cold, they lost the most heat through their heads. Experts say, however, that had this experiment been performed with subjects wearing only swimsuits, they would not have lost more than 10% of their body heat through their heads. A more recent study confirms that there is nothing special about the head and heat loss. Any uncovered part of the body loses heat and will reduce the core body temperature proportionally.

So, if it is cold outside, you should protect your body. But whether you want to keep your head covered or not is up to you.