A bed without some sort of headboard (unless its an uber-modern platform) tends to look plain and rather unfinished. You can add visual interest to your bed without spending money for a real headboard. Try some of these ideas out!

Hollow-core door
See article.

Reed Mats
Either attach it flat to the wall behind your bed, or place several rols of it parallel to create a vivid pattern.

Paint
It seems too simple to be true. Mark our a rectangle with blue painters tape (using a level will make this easier) and paint in a headboard in a contrasing color. Full instructions.