My girlfriend has done this on a few occassions. Generally means I'm doing something very right.

Backrubs and scalp massages are your best bet.

Indicates extreme contentedness and peace with the world. At least the world as it stands, which is a world with someone massaging your scalp. She's usually at least a little embarrassed by it, and will stop herself if she notices it. I don't pretend to understand that. Sometimes though, she doesn't notice. That means you're doing something extremely right, and you can only stop at your own risk.