I do not know of any really comfortable type unless you make your own but you can make the thin ones more comfortable by slowly stretching them before you work with them. You start with your hands holding the center of the headband with its legs pointing down. Work slowly and gently with your right thumb pressing down on the band. Work your way down one side of the band. Now, do the same thing on the other side. You might have to do this several times to get it where you want it. It is much like unspringing your wire before you use it except the headband is much tighter and will take more time to unspring
I was taught to soften the ends of plastic headbands with a heat gun and then bend them outwards slightly so the end/tip points out instead of in. You can also heat the whole headband and stretch outwards once warm if it is too tight. I have never covered a headband in sinamay. I prefer to use a co-ordinating colour of thin fabric. I was taught to use lining fabric as there are so many colours it is often easy to get a match. I hope this helps:) Good luck.
I used to hate using headbands because of how they dig in behind the ears. I have now found that the wire ones work really well if you use your pliers to straighten the ends flat and also bending the top like Sharon suggested. Make sure you wear them for a couple of hours to be sure they are comfortable enough for a day at the races.
I hope that helps,
i have these really thin ones with removable ends and they do not hurt you behind the ears. However they only really work for smaller light pieces.