I saw a ribbon wrapped headband in a department store and wasn't about to pay what they were asking . . . so I made one of these for my niece - and it turned out great, so I made one for myself.
I bought a pack of the cheap-o plastic headbands at Wal-Mart for about $3 for a pack of 6. They were the kid's size, but they actually fit my head fine too.
I cut a couple inches of the ribbon to cover the ends nicely, then started wrapping it tight and glueing it along the back as I went.
When I was done, I made the double decker simple bow and wrapped ribbon around the loops and the headband and glued it in place. Since my ribbon was shiny, I turned the top layer of the bow upside down to add a bit of contrast with a matte finish.