Body Art Quality henna is different from Compound henna (which you should never use). Compound henna is full of a mixture of different things, hints the name compound. Since it is a mixture of different things, usually metallics and salts it can cause your scalp to burn and your hair to fall out.
If your hair has ever been relaxed or otherwise chemically treated (color counts), you should ALWAYS choose BAQ henna. Body Art Quality henna is henna in it's purest form. This henna is free of salts, metallics, and artificial dyes and safe for use on relaxed hair. BAQ henna will coat each strand of hair, which acts sort of like a protein treatment strengthening and providing a reddish tint to the hair.
I purchase my henna from Mehandi.com and they also have a ton of links with more information.