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Gaara's Headband is stitched to his shirt, I know he doesn't like wearing it on his head, but he's Gaara, who's going to tell him???
Nagato, who is the one true Pain, wore the headband of Amegakure.
A majority of the students in the Chunin Exam wore blue headbands but in Shippuden, some of them had changed the color of the cloth. (i.e. Black or Red.) Some characters such as Neji (black) still wears the smae color headband as they did during their debut. Others like Shikamaru and Yamato (Tenzo), wears it without the cloth.
Whenever there is a like across a headband, it means that the ninja is a rogue ninja.
No, he does not.