Bandana. Wash three or four times before use to soften the cotton.
Another product is the motorcycle skullcap. It's made of cotton, too, and like a bandana, but is already shaped and has two ties at the back. In other words, just put it straight on without having to fold. Available at Wal-Mart and various other shops for around five bucks.
The cotton allows your head to breath and to cool, stops the sweat running into your eyes and prevents sunburn. Plus a bandana can be used as a handkerchief, tied around the neck as a kerchief, used to filter water, used to mop up after lunch, wipe hands and clean the bike down. All the things a balding cyclist would want.