what do you wear UNDER your wet suit?

Nada!

ACtually, you don't lose any more heat from your head that any other exposed part of the body---of equal surface area.  The reason it seems that way, there's a pretty goodly amount of surface area on your head---especially if it's bald, like mine!!!

from the debunkers website:

Closer inspection of heat loss in the hatless, however, reveals the claim to be nonsense, say scientists who have dispelled this and five other modern myths.

They traced the origins of the hat-wearing advice back to a US army survival manual from 1970 which strongly recommended covering the head when it is cold, since "40 to 45 percent of body heat" is lost from the head.

Rachel Vreeman and Aaron Carroll, at the centre for health policy at Indiana University in Indianapolis, rubbish the claim in the British Medical Journal this week. If this were true, they say, humans would be just as cold if they went without a hat as if they went without trousers. "Patently, this is just not the case," they write.

The myth is thought to have arisen through a flawed interpretation of a vaguely scientific experiment by the US military in the 1950s. In those studies, volunteers were dressed in Arctic survival suits and exposed to bitterly cold conditions. Because it was the only part of their bodies left uncovered, most of their heat was lost through their heads.

The face, head and chest are more sensitive to changes in temperature than the rest of the body, making it feel as if covering them up does more to prevent heat loss. In fact, covering one part of the body has as much effect as covering any other. If the experiment had been performed with people wearing only swimming trunks, they would have lost no more than 10% of their body heat through their heads, the scientists add.

Then with all things being equal, if the rest of your body is covered in neoprene, then your head needs to covered in a bit more than a ball cap eh?

That's what I got out of it as well Lee.  Went to OR yesterday and bought a few hats.  Thanks for the advice, I am still looking for the right socks though.

I wear a dry suit for kayaking, but a wet suit when I am kiteboarding. A lot of guys go commando in their wet suits. I don't like the feeling of being naked under a wet suit any more than under my jeans. So, I wear speedo shorts under mine that go down to about mid thigh. Some times I will wear a rash guard top.
Of course I also wear board shorts over top my wet suit, seems to be a kiteboarder thing. It just looks better, or maybe kiteboaders are just more modest.

We surfers don't wear boardshorts over our wetsuits. They only inhibit freedom of movement when worn outside. I also like wearing speedos under my wetsuit. Mine wore out, though, and I've been wearing nylon wrestling shorts until I find a deal on some new speedos.  I plan to get the thigh length ones.
My older RipCurl backzip 4/3 has regular nylon II lining on the inside.  I always wear a rasher under it, for comfort and added warmth. I like the rashers with the thicker brushed finish on the inside. They seem to be much warmer then the old ones I used to buy that were slick on both the inside and outside.

My newer O'Neill Mutant 5/4 has a plush finish on the inside, and it is far better without a rasher. Just speedos. It is very warm and comfy without a rasher. In fact, the one time I tried wearing a rasher under it, it just felt wrong and uncomfortable. These newer suits with the soft brushed finish on the interior absolutely require no rasher and are really skookum. They kick azz over the ones made only 10 years ago and leave 'em in the dust. They are better designed, and have benefitted from improved materials and construction.

Speedos are good post-session, when there's no bath house or phone booth around to change in, and you have to strip down in the beach parking lot while standing in a large plastic tub.

As for underneath my 3 mm NRS Ultra John? Boardshorts or speedos, and a longsleeve NRS Hydroskin top (0.5 mm neoprene with plush lining, snug fit, like a thin pullover wetsuit top). The Hydroskin gets replaced with a rasher on warm days.

I got a deal on a Pata-Gucci R4 wetsuit I intend to use off shore. It has the merino wool liner throughout the inside. I haven't paddled an entire day in it yet but I'm optimistic it'll be comfortable... To be cont'd