First off you will be needing the headband itself.
I'm using a broad plastic one, since it's a common one you can find just anywhere in any shop.
Then you need :
10+ 5050-SMD led's (i have RGB-coloured, so i can use which 3 colours i want)
Copper-tape 5mm or smaller
Batteryholders. More about them later on.
Some sort of switch.
And ofcourse the usual, Cables, cables, cables, soldering iron, hot glue and patience :^)