Why is it a common thing for neo-nazis to shave their heads?

It's for shock value. See a shave head you know you can't mess with him. Intimidation is a common tool for the Nazis, old and new.

Well they're neo nazis... they're obviously not that smart. So why would anything they do surprise/confuse you? They don't think.

They adopted it from the "skinhead" movement that began in Britain in the 1960s ...although the automatic association between "skinheads," racism and white supremacy is largely inaccurate and unfair.

The skinhead movement began among disaffected working-class youths wanting to rebel against their parents' "establishment" culture while at the same time rejecting the era's "hippie" movement (seeing it as a bunch of privileged kids who just wanted to party and do drugs).  As such, the movement embodied rejection of social order over the enforced order of any one class or race.

It was this image of anti-authority  angst and anger, however, that appealed to the far left (many skinheads identify as anarchists) and the far right.  In Russia, for example, there are white supremacist skinheads who also advocate a return to communist rule.

The neo-nazi and white supremacy movements in Europe and the USA both took off in the 1990s... With the end of the Cold War, youth on both sides of the Atlantic rejected the notion of East/West that had defined the previous 50 years.  Like their predecessors in the 1960s, this generation of skinheads wanted to reject both the values of the WW2 generation and the "new establishment" formed by "boomers."

Again, the shaving of heads had more significance in what it did NOT mean that what it "represented."  It basically was a statement of "we reject you and your values and will stand by our own." 

It was born out of the 1960's London's working class alternative to conservatism, hippies and bourgeois groups. It actually originated with Jamaican-British. In the early 80's they started to spit into Left and Right Wing factions. Both still shave there heads, but the Left-Wing Nazis stick to it more.

Lice.

They get it from bats and birds!