I'm certainty no professional but I got headaches in the beginning as well. Here's exactly what happened;
First of all I because I never follow directions/instruction correctly I wasn't practicing proper vipassana or any tradition really. I would focus on a point (with eyes open or with eyes closed focus on a black point in my dark field of vision) and go into a trance which often led to very weird (but sometimes cool) feelings. This eventually led to a continuous migraine that was near debilitating.
As long as I follow the rules/do as I'm told (which I learn over and over again I'm really bad at!!!

) that is; I focus on my breath and ignore weirdness/try not to become attached to anything that happens because of meditation; my headaches are gone

.
I also only meditate for 10-15 minutes per day. I also don't meditate on a day if I'm overly tired; I take a nap instead. Everyone may not be the same here but I would suggest trying something like this or just making a small change and seeing if this does something. If not; try something else Personally I think any pain is your body telling you something is wrong and that's not good.
You might be able to pass this aside as irrelevant but I can't help but feel it is related; I discovered recently listening to a lecture by Terrance McKenna that he had chronic migraines. He eventually died rather young from seizures and strokes. Now, he took a ridiculous amount of mind altering drugs on a regular basis. He tried meditation but did not meditate regularly. Supposedly they found no connection of his death to the drugs but it seems awfully suspicious to me. My headaches occurred after real consciousness changes. The feelings during this was like being in another dimension/reality; words cannot describe it. I'm quite certain if I kept this up (this type of meditation everyday) I'd still be in that awful pain (or perhaps worse

).
What dharma bum said sounds very reasonable. When I was doing the above I was also breathing very shallow (unintentionally). I breath normally when doing it the 'proper' way.
I've been reading a great book by Micheal Pollen (how to change your mind) which said MRI's have revealed that meditating indeed directly alters blood flow in the brain. I read elsewhere that migraines may be caused by bloodflow problems in the brain.
--it's also occurred to me recently that I've always had breathing problems. For example when I'm playing guitar and if I'm really focused on a difficult part or I'm nervous; I begin breathing shallowly and often suddenly find myself having to 'catch my breath'.