Get checked. If your headaches do not respond to pain medicines like tylenol (acetaminophen) or motrin, then it would be good to get checked out by a doctor. You may also want to maintain a headache diary when you have a headache. In this you should write down anything you ate in the hours before the headache started, or how much sleep you got the night before or anything else that stands out and look for patterns.
Vague. Need much more information- duration, location, cause, severity. If in doubt and if it has lasted for awhile, i would see a doctor and provide a thorough history and get a thorough exam.