If something is sold and labeled as a non-slip headband, chances are I have tried it and it now resides in a bathroom drawer, never to be used again. From big stretchy sweatbands that could conceivably double as a very tight infinity scarf to tiny silicone-studded elastic bands, they all end up either around my eyes or sliding off the back of my head. My hair is too short to pull back when I work out and too long to leave loose, so it's a seriously annoying problem.
Then I stumbled on Chicabands at a race expo. Backed with a velour-like fabric, these babies not only stay on through a 10-mile training run or a Dance Trance class, but they don't budge an inch. And they're comfortable! On top of that, they come in a variety of widths, colors, and cute patterns: