Consider this: The infinity headband!
While regular headbands are just fine, headbands that wrap around like this are way better. The fact that they form a circle instead of a U makes them much more movable, because it can hug any and all parts of your head instead of one specific section it has to stay on.
It's also great for anyone whose ever had to suffer through acne. I've always hated going out with a bumpy forehead, even if the acne isn't particularly red or bad. With the infinity headband, you can just stretch it out and pull it forward.