In reply to ffati:
Hmmm.... I used to work in a bike shop years ago (pre aheadset days), trying to think of anything.....
Is it a brand new headset, or just replacing the bearings? Are they loose bearings, or caged?
If they're loose, are you sure they're the right size? Have you got the correct amount in each race?
If they're caged, is it worth checking the cages, make sure they're not pinching.. are they definitely the right ones?
I used to get a problem where the races would pit slightly and the steering felt like it was 'indexed' and return to the straight position with almost a click.. I used to get a bit more life out of the headset by tapping the cups out and turning them in opposite directions, but if it's an internal headset, I'm guessing you don't have that option...