Knitpicks has some patterns for mittens and gloves using sock yarn. I haven't tried any of the patterns so I can't say how warm they would be.
Lotus Blossom Tank in SWTC Bamboo
Mandarin Blouse in cotton fleece
sockettes in KP Bare tweed
Fat Bottom Bag from SNB - Crochet
Saving Fish from Drowning by Amy Tan