For winter activities (the only time I use a balaclava) I prefer the modular nature of the separate headgear because the mouth/nose area always get wet from respiration and I like to alternate between two during the day in order to dry one out (next to the body, under my softshell).
Since my softshell/windshirt has a hood, I am looking for slight insulation with high breathability and drying times. As such, I do not want a membrane material, but do want both full coverage and the ability to vent.
My OR Ninjaclava is perfect for this- light insulation, can be pulled down easily below the chin without chaffing, or I can fully cover the nose and mouth, wear goggles and be completely protected.
It looks like REI's Performance Headliner is a similar design.
Evey other balaclava I have (Nordic Gear, OR Gorilla, neoprene face masks, MH Powerstretch) is either too warm, not full coverage, or uncomfortable around the nose.
Edit: Steve beat me to it… so I'll just second his post.