You could knit a hat, then pick up stitches around the edge, but you'd get a seam. By using the provisional cast on, you can have live stitches to start the other hat and one will meld into the other without having a seam on the inside.
The provisional cast on is done with some waste yarn, and if done right will pull out like a row of crochet. It doesn't always pull out easily, for me anyway, but you can snip if you need to.
I generally do the one where you crochet a chain and then knit into the back of it.