We examine the excitonic nature of high-lying optical transitions in single-walled carbon nanotubes by means of Rayleigh scattering spectroscopy. A careful analysis of the principal transitions of individual semiconducting and metallic nanotubes reveals that in both cases the lineshape is consistent with an excitonic model, but not one of free-carriers. For semiconducting species, side-bands are observed at ~200 meV above the third and fourth optical transitions. These features are ascribed to exciton-phonon bound states. Such side-bands are not apparent for metallic nanotubes,as expected from the reduced strength of excitonic interactions in these systems.