Sometimes weed does give you a headache - if you dont get high but get a headache (or get a little stoned) youve either been smoking schwagg - brown crap - or soapbar, which is British hash. If you can even call it hash. Its mainly made of plastic bags, tyres, beeswax and dung.
Decent weed can give you a headache aswell, if its been grown with ferts and hasnt been flushed properly.