Divers and skull caps...

[Don Wray]

http://cgi.ebay.com/ws/eBayISAPI.dll?ViewItem&item=8167522338&rd=1&sspagename=STRK%3AMEWN%3AIT&rd=1 Not to say anything about Dee Rags but these are 1/3 the price. Check out their store. Disclaimer: I'm in no way affliated with this store but am a customer.

 

[carlislere]

Some LDSs sell them. You can also get them at gas station/convenience stores and motorcycle shops, i.e. Harley Davidson. You can also use a bandana, if they fit your head (they usually don't fit mine).
They are good for keeping your hair out of your way and can provide a little warmth as well.

 

[mudchick]

I like the under armour skull caps since they don't move around as much for me as the others. I started using them under my hockey helmet and I think they're great,IMHO. They can also be had at better sporting goods stores like Sports Authority if you don't want to buy online.