There is a popular belief that most of the body's heat escapes through the head.
However, this is a myth that stems from military experiments done in the mid 1900s where researchers dressed their subjects in Arctic survival suits and exposed them to frigid conditions. These suits covered the subject's bodies from the neck down, so most of their body heat did indeed escape through their head.
However, other researchers have determined that if one did the same experiments with people wearing swimsuits, these subjects would only lose about 10 percent of their heat through their heads.
The amount of heat released by any part of the body really depends on body surface area. On a cold day you would lose more heat through an exposed arm or leg than your head.
The face, head, and upper chest are up to five times as sensitive to changes in temperature as other areas, thus creating the illusion that covering up those areas traps in more heat. However, covering another part of the body does just as much to reduce overall heat loss.