It's like...when you come up with something about a character that isn't explicitly stated anywhere, but that you like to think is true about them. Often, but not always, it builds on stuff that you do see, but sometimes it's just something you come up with out of the blue. Like maybe it never says anywhere in the series what Bob's favorite color is, but he wears red a lot so you might say it's your "headcanon" that he wears so much of it because it's his favorite color.

I hope that wasn't too crappy of an explanation. /o\