What hurts people may be different from person to person, but from personal experience the little plastic ones with teeth always hurt so bad. But! Doing a quick google I found this that may help you keep people from getting uncomfortable regardless of the band type. From the way the ears look, even though the band hurts, it'll probably be far less visible than other types.

http://www.ehow.com/how_5007845_make-headbands-not-hurt.html