It may be an exertion headache. I had these a few years back, whenever I took a set anywhere near failure, let's say 10 reps, I would get a pulsating headache about 6 1/2 reps into the set. It was so excruciating, I had to stop training. I went to the good ol' doc, and he advised that I take on anti inflammatory twice a day, and cease training to failure. What the fuck good is training if you can't train anywhere near to failure? Anyway, the headache lingered for a month, at that time I got a cat scan, and nothing showed up. It was weird, they didn't know wtf it was. I ended up taking two looooooong months of from training and it cleared up on it's own. Really fucking sucked though!