This knitted hand warmers by Purl Bee look like they would be very comfy. They also look hip and trendy. They give your fingers some breathing room so you could still wear them on a day that wasn't quite as cold as it should be -- like so many of the winter days seem to be ever since global warming started. Mittens with holes that free your fingers also make it much easier to grasp things. You could select different colors than the Purl Bee used but you should make sure they are colors that work well together before you start making the hand warmers.
You can find a tutorial and pattern on the Purl Bee (hat tip Craftzine.