when i first started working out, I used to get exertional headaches - intense mothas - they'd last for up to a week, and be quite debilitating.
It was like a double throbbing up a dual pathway from my neck to my head, and the onset was when i exerted myself in chinups or squats for example - the weeks following, the slightest thing could set it off, even light cycling (though it wouldn't be as intense then).
I started taking an aspirin just before working out, and the problem disappeared - i did this for a month, then stopped aspirin, and problem has never reappeared.
I think it was blood pressure related - coz movements like squat raise BP very suddenly to very high levels from what i've heard.
Does this sound at all like what you were experiencing?