Any activity which involves sudden rushes of blood can lead to a headache for some people. The act of intercourse is no exception. Here are ideas on how to handle this situation.
First, it's important if it's a severe headache to take that seriously and contact a doctor. People do sometimes have serious medical reactions to this strenuous activity. So make sure to take that possibility into account and make a phone call if the headache seems more powerful than ones you'd encountered before.
If it's just a mild headache, like you've had other times, then it could simply be the rush of blood taxing vessels that normally do not see that kind of activity. This is especially true for a person who is normally sedentary and then engages in sexual activity. This might be a good indicator that you should find other activities to introduce into your life, to keep your body more active! You could go for walks or play Wii games. Whatever it is, keeping your body healthy and active is important for long term life enjoyment.
If this is the case, then once you get your body more used to exercise, then the headaches will go away and the intercourse will become more and more enjoyable, because there is no longer any "down side" to the activity. You'll find many other benefits to having a fit body as well.
I do know some people who not only get serious headaches during intercourse, but also nausea. So the body can react quite severely to the amount of activity that is introduced during intercourse. A similar situation is the number of people who are injured - some seriously or fatally - after the first snowfall of a season. People who have been sedentary for months decide to go shovel piles of snow and it is simply too much for their body. While it can be a challenge to stop shoveling half-way through a job when you need to get to work, it can be even more of a challenge to stop the act of intercourse half way through when a partner is there with you wanting to finish. Still, in both cases, it's important to listen to your body and pay attention to its health needs.
If you are not fit enough for the activity, then it's important to invest yourself in the exercise and care to ensure you can do it safely.