I have seen some great patterns and ideas for headbands lately. Check out here and here for some!
I kind of did my own thing though, and made about 10 and gave them away in two sets of five. I did ribbon headbands and cloth headbands. They all were the same concept: a band of fabric or ribbon with about 4 inches of elastic sewn on to make a band. I was bad though and didnt change the thread out from black. Thats ok, its not shown when you wear it.: