Like all of them said, except I use a bandana.

Folded into a triangle, rolled into a long band, and tied into a loop... works great in classic and hippie style headband mode. Folded into a triangle, tied on like a cap/pirate, and it keeps my scalp from burning under my baby-fine hair through my helmet vents and holds my chin-length hair off my neck. (pull it down to your shoulders then slide it UP, it pulls your hair up with it.) I like wearing it pirate-style on the bike, then classic headband style when I get off the bike. Always looks presentable.

$2.50 at REI. Gazillions of colors and patterns. Most are made in USA.

And you can blow your nose on them.