We study how multi-head softmax attention models are trained to perform in-context learning on linear data. Through extensive empirical experiments and rigorous theoretical analysis, we demystify the emergence of elegant attention patterns: a diagonal and homogeneous pattern in the key-query weights, and a last-entry-only and zero-sum pattern in the output-value weights. Remarkably, these patterns consistently appear from gradient-based training starting from random initialization. Our analysis reveals that such emergent structures enable multi-head attention to approximately implement a debiased gradient descent predictor --- one that outperforms single-head attention and nearly achieves Bayesian optimality up to proportional factor. We also extend our study to scenarios with anisotropic covariates and multi-task linear regression. Our results reveal that in-context learning ability emerges from the trained transformer as an aggregated effect of its architecture and the underlying data distribution, paving the way for deeper understanding and broader applications of in-context learning.