When I looked a few years ago for a head cam, there was very little available relative to what is out there now. I found one manufacturer on the internet and the cameras were about $800 - $1100. Interestingly, they were actually located in Montana, although I had no idea I'd be moving there. Here's their link:
From that site, I learned that what is important (depending on the quality of the video you want to shoot) is the signal to noise ratio...
"At Custom Video Cameras we are the pioneers in minivideocameras. We urge you to do your homework before you buy and know what you are getting. The biggest single difference in cameras is the "signal to noise ratio". This is the most important specification...the higher the S/N ratio, the better the camera image. We are confidant we offer the best minivideocameras around, and offer a 30 day back money guarantee!"
Now, if you search the internet, you can find them all over the place, for as low as $200-$300. An important thing to check for is the signal to noise ratio, which I guess was something that was skimped on in cheaper cameras in the older days. It seems that they are really big with the motorcycle crowd which may have helped popularize them.
I was interested in shooting high quality footage that would take advantage of the recording capabilities and resolution (~500 lines) of my digital video cameras, so I was looking for a head cam that had approximately that resolution. I eventually decided on the PVS-CAM480 model from Sportzshot (as part of the PVS-5PRO Package), some specs are here:
Although you can get the camera itself for $275, I went with the package deal for $349 since it provides you with all the stuff you would probably need to buy separately anyway (mount, microphone, battery, charger, case etc.). I totaled it up and it was worth it to buy the package.
The way the camera works is that it captures the picture on your head, but you still need to wire it to a camcorder to get it onto tape. For this, you must have a camcorder that has analog input capability. This would seem trivial, but somehow most lower-priced digital video cameras don't have this feature (it's essentially an analog to digital converter in the camera). Neither of my JVC cameras would accept analog input, so it meant I had to buy a new camcorder as well. I searched around for models that had analog input capability, and the lowest price option seemed to be Canon's ZR line. I bought a used Canon ZR45 off eBay for around $300. The only problem is that it requires the remote to put it into recording mode from the analog inputs, so I have to carry around the remote in my pack when I'm headcam recording. But, for $300 I guess I can't complain.
The setup had taken some streamlining (such as figuring out where to put the wires, what type of pack works well, the angle to shoot at, what type of lens to use, etc.) but I'm really happy with the results now. The pictures come out beautifully, although I'm still working on how to keep the snow off during face shots.