I really like the turban style headbands, so I decided to make my own (:
1) Start with a square bandana. Turn it so it makes a diamond shape.
2) Grab one corner and bring it to make a triangle, but stopping a little before both edges meet.
3) Proceed to fold the bottom of the triangle in rectangles until a small flap is left.
4) Fold the flap upwards.
5) Grab the bandana so the flap stays folded and hold that side up to the back of your head.
6) Cross each end so that they come to the front of your head.
7) Twist one side under the other.
8) Tie a knot.
9) Tuck the remaining fabric underneath the headband.