So for years, I've used a plastic headband with teeth that hold the hair.
These are effective, but not travel-friendly. And when you're groggy and bleary-eyed in the morning, you can stab yourself in the eye with it.
The solution? The Sofrien hairband.
I'm talking about #3 in this picture. It looks like a simple terrycloth hairband, but there are elastics sewn into the band, so it always stays in place. And the band is wide, so you can tuck in every little wisp of hair around your face. I can even tuck all of my long hair in the back, and it stays put perfectly. It's comfortable, it's durable, and it's easy to pack in your travel or gym bag. A real beauty must-have for me.
(You don't need to buy the Sofrien brand. You can find similar hairband/turbans in most Asian beauty supply or cosmetic shops. But I think the Sofrien is one of the cheapest.)
Where I bought my Sofrien hair band: The Galleria Market at the Koreatown Galleria