K.P.
This is going to sound funny, but wait until she's born so you can see how big her head is! Not all headbands are created "equal"... my daughter has my family's "O-dome" as we call it (maiden name starts with an "O") and most infant sized headbands leave a mark if she wears them.
She has some that are "looser" and more breathable, so those are the ones we use (on the rare occassion that we use them). I have truly found that the children's boutiques have the highest quality and most comfortable accessories around. The Target ones are too tight for my girlie and they are pretty plain.
Check out the boutiques- their accessories aren't as expensive as you might think!