The first time I killed a Great Jaggi, I got an item from it called King's Frill. Since then, I have killed about 10 more great jaggies and never seen another one. Do I need to do something special to get it to drop?
In order to get a King's Frill you need to break the head of the Great Jaggi. Just keep attacking his head and eventually you'll hear a breaking sound and animation, and his frill will get holes in it. At the end of the quest you'll then have a 65% chance to get a King's Frill. If you've already been doing that and still haven't gotten one then you're just experiencing bad luck, keep at it and you'll eventually get some frills.
It's also available as a quest reward from certain quests, the earliest of which is available in the 4-Star village quest Hunter Killer.