Since "Naruto" is such a mainstream series, you can find plenty of "Naruto" merchandise in stores such as Wal-Mart, K-Mart and Toys R Us. Though these stores will not have rare or high-quality "Naruto" headbands, they will have generic, kid-friendly headbands manufactured by American brands such as Mattel. Naruto headbands found in retail stores will also be low-cost, which is great for parents looking to buy a headband for their kids without investing too much capital.
If you are looking for something a little more high-quality than a retail offering, than you might try looking at an import or hobby shop. Retail stores generally don't sell many variations on the classic "Naruto" headband, but any fan can tell you that there are plenty of different styles. Since import and hobby shops generally get their merchandise from Japan, they will have a wider selection, with more character-specific headbands, including Akatsuki headbands (which have never been manufactured in the United States.)
If you still can't find the "Naruto" headband that you want, you can try looking online. Online retailers, especially those targeted towards cosplayers (people who dress up like their favorite characters) will feature hard-to-find headbands (generally imported from Japan) or hand-made headbands for those who have specific styles or character emblems on their headbands. The only drawback to shopping online is that you can expect much higher prices than you might find in a traditional store, especially if the headband is hand-made.