I spent some time, before my wedding, contemplating what I should do about covering my head at our reception.
I thought about leaving my veil on- but it was fairly large, and I thought it would get in the way of dancing. (As to why I still had my veil over my face on the way Out of our wedding- well, I was too distracted to remove it, and no one else noticed. In fact, it turns out that my husband kissed me under the chuppah through the veil...)
I considered going bareheaded for the reception, but that felt very strange and pretty wrong to me. I'd been wearing some sort of head-covering (kippah/scarf/cap/etc) for 6+ years by that point (only last summer), and being at a significant event without one- especially when there would be eating, brachot, and divrei Torah involved- did not feel appropriate at all, for me. So I ruled that out pretty quickly.
I briefly also considered finding a white scarf or crocheting a cap or kippah for the reception. This would have made putting a hair-do together rather complicated, but it was my default option for a while. (This would have been one more project for an already DIY heavy wedding. I made the centerpieces, kippot for our guests, and sort-of-matching kippot for our immediate families, besides starting and not finishing an atarah for my husband's tallis, which was our huppah.)
Then I went to a friend's wedding, who also wears kippot/small scarves. Her sister had put together a scrap of the lace from her dress (removed during alterations) with a shiny hairclip, and she wore that in her hair as a kippah during her reception. When she offered to lend me some things they had gotten for their wedding and weren't going to need afterwards, I asked if I could borrow that as well. She was happy to loan it, and I did indeed wear that all day- I had the hairdresser put it on when she did my hair, and put the full veil over it, and only removed the latter after the ceremony. It gave me a great chance to enjoy having my hair out for that last day, and also feel like I was covering my head.
And here it is actually serving its function, during the dancing.
What did you do with your head/hair at your wedding?