Skip header lines on import

Here is an approach that handles interspersed comments in addition to "headers"

 FilePrint["test.txt"]

#comment
#comment
#comment
1 2 3
#c2
4 5 6
7 8 9

 ImportString[
     StringReplace[Import["test.txt", "Text"], 
         StartOfLine ~~ "#" ~~ Shortest[___] ~~ EndOfLine ~~ "\n" -> ""], "Table"]

{{1, 2, 3}, {4, 5, 6}, {7, 8, 9}}

of course you can invent whatever convention you want or even a mix, eg..

 `StartOfLine ~~ {"#", "!", "%"} ~~ ...`

another variant:

 ImportString[StringJoin@Riffle[
      Select[StringSplit[Import["test.txt", "Text"], "\n"],
            StringTake[#, 1] != "#" &], "\n"], "Table"]

Even handle end-of-line comments:

#comment
1 2 3
#c2
4 5 6  #note 1
7 8 9  

 ImportString[StringReplace[Import["test.txt", "Text"], {
      StartOfLine ~~ "#" ~~ Shortest[___] ~~ EndOfLine ~~ "\n" -> "",
                     "#" ~~ Shortest[___] ~~ EndOfLine -> ""
                                       }], "Table"]

{{1, 2, 3}, {4, 5, 6}, {7, 8, 9}}

Tested on Windows by the way -- this might need some tweaking to handle different line endings on other systems

I like to just import it and then filter it afterwards.

data = Cases[Import["file", "Table"], {_?NumberQ, ___}];

which will contain only those lines that start with a number.

The Import command supports an option to ignore header lines. In many cases this is the easiest solution. For example:

dataStats = Import["C:/data/stats.csv", "CSV", HeaderLines -> 4];