I'd suggest resting. My guess is you're doing more than you need to to achieve the results you're getting. What's your program? Where are your lifts at?
I just started getting the headaches when i added more weight to my lifts. i work out 4-5 times a week. back, shoulders, chest/tri, legs and i'll add in either shoulders or chest on the 5th day. just depends...or i'll do some sort of cardio.
i've lessened the amount of weights recently but after my first rep, i'll start to feel that headache coming on. i do plenty of stretching before working out and my breathing is good. i stay hydrated throughout the day and of course during my workouts.
im just frustrated cuz i have to miss out on the gym >: but i know the rest will definitely help me.