I used fingering weight sock yarn for a baby-sized Harlequin Cap, which is folded up (basically making 4 layers around the ears). I think worsted weight would be fine for an adult, and extra warm in a colder climate than we have here in southern California.
Oh, and I wanted to mention, for those who don't care for provisional cast-ons, you can knit the hat top-down for one side and bottom-up for the second half.
Debi