There are two kinds of headbands for tennis, those designed to keep sweat out of your eyes and those that keep hair out of your face.
First, the sweat managers:
Nike's swoosh bandanas are 100% cotton (stays wet while sweating), $12. If you've got the face and hair, these look darn good (case in point on left). 
adidas, K-Swiss and Fila, also make a tie variety (all are poly blend).
Right, by adidas, are the more traditional cotton terry variety, 75% cotton with stretch, $5.99 for two. Let's just say it's a very functional style. I see a lot of these on men. Fila, Nike, K-Swiss and Lacoste also make them.
bondiband makes a thin sweat wicking headband in multiple colors and fun/motivational prints, $8.00. All are meant to be worn across the forehead or at the hairline (as pictured here). They are attractive and very quick-drying (so you are never wearing a soaking band). Look for the one with crossed tennis racquets in the sport section. They carry quite a few men's styles as well.
Second, the hair managers:
Women who wear these do not feel comfortable with a headband across their forehead. Problem is, comfortable, functional, hair-taming bands are hard to find because most slip unless sitting at the hairline or forehead. Many wear hard u shaped plastic bands.
What you need to look for are headbands with strips of silicone gripper tape on the side against your hair. Yoga manufacturers like Lululemon sell these. Their Slipless Headband, $12, is pictured here. I've also seen silicone lined bands at Athleta. I am not finding them yet in branded tennis apparel.
Find adidas, Nike, Fila, K-Swiss and Lacoste headbands at Tennis-Warehouse and tennis retailers worldwide.
