I have a Buff and a really nice wool balaclava, and I find myself using the Buff more. I like the flexibility that it provides, and how snugly it fits. The balaclava never wants to stay where I put it.

FWIW, if you're like me, and have a tiny head/face, there are women's Buffs out there that are junior-sized, but more grown-up looking. Not many places carry them, and I always end up getting them here.