For hundreds of years redheads have been persecuted as witches far more than the other hair colors (using a weighted average to account for the rarity of the phenotype). It probably didn’t help that the Malleus Maleficarum named red headedness as a sign of withchcraft but the brief was held long before, my theory is that the rarity partly the cause and the trait itself is another big part of the cause. Red headedness is recessive trait so it is more likely than average for other less desirable traits to co-occur in redheaded people, since in very small populations red headedness can be a sign of at least partial inbreeding). In the days when witches were burned at the stake you didn't have to be caught doing magic, if you had a "devil baby" (severely deformed, still born or not or retarded) then you were a witch. Even with out the linkage to recessive traits the reduction in melanin has bad side effects during the time before SPF 45. Not having melanin causes redheads to have a higher incidence if freckles/moles (devil marks) and a high and early incidence of skin cancer (especially on the face). If the women didn't cover up the lack of skin pigment would allow the sun to strip their bodies of riboflavin, leading an increased incidence of birth defects. The other side of the coin isn't that great either, by covering up to protect themselves from the sun redheads would not get enough vitamin D leading to tooth loss and osteoporosis.
This is the stereotype of witches that survives to this day: facial growths, toothless, hunched...
The deal they made with the devil was bad genes. While being burnt at the stake isn't fun, it served the function of reducing the frequency of recessive traits and possibly improving the overall fitness of the population. Now recessive traits are highly protected, but by removing those that express the phenotype at least the “leaders” would feel better and make the F0 and F1 slightly more likely to thrive. Something similar happened in Africa semi-recently when they killed off the people with sickle cell anemia, malaria killed the people that had no copies and so pretty much everyone was a heterozygote.
The question is when a person is heterozygous for red headedness what is the selective advantage?
Based on where red headedness is common I am guessing it has to do with ensuring people get enough vitamin D in areas that do not get high solar irradiation and a serious founder effect. Ironically studies have indicated that the mutation which causes red hair makes them more sensitive to thermal pain than people with other hair colors. Granted being burned at the stake has to be incredibly painful regardless of hair color…
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