If you are doing long rides in the cold those little chemical heat packets are great too. My commute is barely long enough for them to warm up (about 25 min), but for long team rides they can be finger and toe savers.

You can even get rechargable, eco friendly ones at REI - they are of course a little more expensive in the first place, but can be reused more than enough times to negate that. I don't think they don't get quite as hot though. If you have money to burn..... you can get heated insoles from Sidi.. I'm pretty sure they run on a battery, but they are quite expensive.