Exertional Headaches
Exertional headaches is a headache brought on by exercise. Most of the time these headaches are not dangerous but they can effect your training.
These headaches come on gradually with exercise and are relieved with rest.
The causes of these headaches are varied: 
A rise in your blood pressure when running; Tight fitting clothes particularly hats;
Dehydration;
Improper warm-up.
If you experience exertional headaches, try taking an over-the-counter headache medication approximately 1 hour before running.
Keep in mind, any kind of exertion can bring on a headache. However, if you suddenly get a headache (no pain to intense pain very quickly) this could signal a stroke or bleeding in the space around the brain. If this type of headache occurs, go to the ER immediately.
If you already suffer from migraines, running can sometimes trigger migraines.
To prevent exertional headaches, try these:
Loosen your clothing (headbands, hats, sunglasses, etc)
Try an over-the-counter product called "Migra-Lieve" that contains magnesium, riboflavin and feverfew. Take it before running.
Take an aspirin about an hour before running
If aspirin doesn't work, see  a medical professional for proper diagnosis and treatment