I have a headache. What should I do?

Get checked out. A good start at finding potential headache triggers would be to maintain a diary. Every time you have a headache write down what you were doing, the foods you ate that day, alcohol, smoking, caffeine, stress, how much sleep you had the night before, eye strain, etc. Try to find patterns in your headache so that you can learn what things to avoid. Get checked by your doctor.
Headaches. If you have tried all over the counterpain medications, you might consider a magnesium supplement, then see your doctor. You might need a daily medication like topamax (topiramate) or Propranolol to keep the headaches away. You can also find out if your headaches are coming from tension, eye strain, dehydration, lack of sleep/poor sleep, skipping meals, stress, sleep apnea/snoring, or chronic sinus problems.
Options. Headache pain is often relieved with medications like nonsteroidal anti-inflammatories or acetominophen. If headaches are chronic or particulary severe - that would warrant medical evaluation.