Just about any army/navy surplus store should have 100% wool watch caps that range from $10-$15. Or just buy it from amazon.
Definitely listen to what bamgrinus said and look for quality materials, but if you do want some brands to sort of help get you started, on the cheap end, you have Uniqlo Heattech beanies which I believe are made with a wool blend and are only $15. Rothco has some 100% wool watch caps on amazon that are around $7. For a little more money, Carhartt, Coal Headwear, Norse Projects, and Woodlands all have wool beanies in that $45-$60 range, although I'd understand if you're not willing to drop $60 + shipping on a beanie. This post has some other options too and is a little more organized than my comment here.