Exercise is important if you want to be fit and healthy. But sometimes it can bring with it some strange side-effects. And a headache is one of them. Many people suffer from what is called an exercise headache. In fact even the ancient Greek physician Hippocrates noted the association between headaches and exercise. So it is not a new condition and has been around for thousands of years. This kind of headache can prevent you from sticking to your workout and this will interfere with your fitness regime. These are exertional headaches that can strike during or after your workout.