I just use regular "old lady" scarves- you can get them pretty much anywhere. If it's the big square kind, you can fold/roll it on the diagonal to make it long and thin enough for your hair.
sometimes I'll also use just a piece of wide ribbon, but that gives more of a preppy look.
I often check vintage and consignment shops for scarves- a lot of stores have a big bin and they're always cheap (like $1!). If you have any flea markets, etc. near you, that's a good option too. Also, GAP, Old Navy always put their scarves on sale at some point and they end up being like in the $4 range.
i can't get regular scarves to lay right, so i bought a couple from Henri Bendel's that are fitted... tres cute and they don't bunch up all funny and don't have the long tails (which i can't stand!)