Hairstyles in Japanese videogames are, without a doubt, the most important and least often fully analyzed aspects of a character. For all his heroic and endearing traits, Locke's hair isn't all that interesting, proving once again that he's not the main character. He might have pretensions to the title of "male lead" but his hair lacks the distinctness to fuel 50 hours of gameplay on its own. Consulting "The Higher the Hair, the Closer to God" rule only confirms this.
However, I would like to point out that his hair is signifigantly more spikey than Celes' or Terra's, his primary rivals for the title "hero of this story." I think we can accept this as proof that Final Fantasy VI has no true main.
So, Locke's hair is too boring to give the game its meaning, but that doesn't mean I won't be able to talk about it for at least three more paragraphs.
For starters, it's not exactly clear what color Locke's hair is. This is a common problem in the sprite-based Final Fantasies. You see, while Nomura has a fetish for belts and zippers combined in a Rule 34 like fashion, Amano characters are almost exclusively blond. When you have to distinguish characters in sixteen by twenty-four pixel alotments, it's generally helpful if their hair colors are different. That's why Terra has green hair in all the sprites but blond hair in the official art.
But Locke's magical locks are a bit less clear cut than Terra's blond and green. Locke's hair is yellow blond in some of the artwork, but it's also a bit less saturated in some of Amano's portraits. In-game, it's kind of a light muddy color that's somewhere between blond, brown, and grey, and only seems to exist in Final Fantasy games. In the FMVs, his hair is white-blond, in the SD portraits, it's a pretty simple brown. Some fanartists have taken to drawing it silver, and I don't know what the hell that's about, but it seems to have stuck.
In short, Locke's hair is whatever color you want to make it. The bandana's really his distinguishing feature. I tend to draw it more blond than brown, but that's because blond is easier for me to draw.