When people get awards in the SCA, they are often granted permission to wear the various insignia associated with those awards. Insignia can be a badge, a ribbon, a belt, a collar, a glove, a circlet, a coronet, or more. The "fancy headgear" you see at events are coronets being worn by people who have been given awards.
Full descriptions of Ansteorran Insigna Sumptuary Law regarding specific coronets (Article X) The main types of headgear are:
someone with an Award of Arms can wear someone with a Court Barony can wear
someone with a Territorial Barony can wear someone who has served as Sovereign or Consort once can wear someone who has server as Sovereign or Consort multiple times can wear Other fancy headgear could be insignia, or it could just be fancy headgear. Don't be afraid to ask about the significance of something a person is wearing!