I was going to write a post about the exact same thing when this couple already did it. Their site has an excellent cartoon that can explain this better than words can, but basically, many Koreans don't wear hats in the winter. Many eschew them altogether or some just use their jacket's hood. Either way, the reasons center on not wanting to mess up their hair.
At the same time, winter hats are available everywhere.
And on that note, it's gotten cold here. This is the coldest of the four Decembers I've lived through.