Coital Cephalalgia is a rare type of headache that is associated with sexual activity. Sufferers report a dull head pain that increases in intensity alongside sexual excitement, and reaches full strength at orgasm.
The head pain lasts any where between one minute and a couple of days. So those who suffer may choose to try medications, or just avoid sex all together.
Despite the old "not tonight honey, I have a headache" joke, men are more prone to suffer from coital cephalagia than women.
PS. If you don't suffer from Coital Cephalagia and one day during sex you get a very sudden and severe headache, you should go to the hospital because you might have a brain haemorrhage.