Cotton bandanas all the way. Always got several kicking around in my pack, they are great for lots of stuff. On multi day tours I dry them out at night (throw em in the sleeping bag with me, they are warm and dry by morning).
Everything else I've tried, I'll just sweat through it, cuz I sweat a beastly amount. Even if I got another hat on to keep off the sun, snow or rain, I always got the bandana under there, soaking up the sweat. I've tried other headbands, and they are just not thick enough. By the time I pull the cotton one off to switch out for a freshie, I can literally wring them out.
This season was the first time I started wearing helmets for descents, and hated it at first but I think I'm finally used to it.
And I always got a beanie in my little emergency kit in my pack, along with extra gloves, spare binding parts, etc. Cuz ya never know.
I carry atleast four bandanas...... I drench them also. Sounds like there is no perfect answer. Got turns last week and cutting down layers and the trucker hat worked well. But when the cascade winds blast, the combo with my bald head is wet then cold. I have a plethora of beanies. Thanks for all the tips!