NYC,
I found I got headaches frequently during workouts before I focused on proper breathing during reps. I found on some exercises I was holding my breath, instead of exhaling during exertion. They'd usually come on towards the end of my workout, but typically ended by the time I had finished my post-workout shake and cooled down.
Is that possible in your situation?
Other things that come to mind are crashing from caffeine/NO intake, overheating/dehydration, and carb deprivation crashes (usually at the end of the day).
Man, workouts are painful enough without adding a headache to the list!
Good luck!
-LH