I knit this headband as a sample for my LYS. It is knit with one skein of Royal Cashmere, which was an absolute pleasure, and a little bit of frou frou yarn. Unfortunately, I'm not really sure what the frou frou stuff is on the edges. I figure you could use any fuzzy yarn or skip the fuzz all together and just edge it in garter stitch. If you want to knit this here's what ya do...
Cast on 66 stitches on a size 8 circular or DPN's, join
K 3 rows with fuzzy yarn
Drop fuzzy yarn
*P 3 rows (with cashmere or other worsted yarn)
K 3 rows*
You will repeat this (between *'s ) until the headband is as wide as you like it. (I repeated it 7 times)The last 3 knit rows will be with the fuzzy yarn. Bind off :)