Personally, I think cycling caps are goofy looking. But maybe that's the point, I dunno. I'd really just rather wear a skullcap or beanie or something. I'm kind of a dork, though.
Over on Flickr, user Panda Face has uploaded a very nice pattern for making your own cycling cap. You gotta know how to sew, though. Kinda leaves me out. Though I suppose I could probably hack it with some super glue or something... Anyway, have a look at all the cycling caps he made.
You can use pretty much any fabric, or combination of fabrics, for the cap. The bill is stiffened by using a simple piece of plastic, like the kind you'd find as a section divider for a school binder. Panda Face advises taking a cap with you to the store when looking for the plastic, in order to find a piece with the right sort of bendiness.