For future reference you can visit topic #12251. This question can mostly be answered with the wiki pages though.
Bandanas are cloths (or sometimes strips) that are worn on the head to keep hair out of the face. They usually are tied with a knot somewhere around the brim (usually the back).
Headbands are thin strips of cloth worn across the forehead. Note the wiki page for more details.
Head scarves are sometimes confused with bandanas (and someone else might be able to clarify this better) but what usually gives this away for me is that a bandana is a typically flat and tight-fitting cloth that might only cover part of the head, whereas a head scarf is either loosely tied around the back of the hair or covers the whole head (such as a burqa). Some entries have both though, since it's sometimes hard to tell: bandana head_scarf
