Training headaches will usually be no more than a sign you're dehydrated or simply struggling with the stresses of work or other commitments. Occasionally however, when you're pushing hard during a workout - or sneezing, coughing or laughing - you may experience what is called an ‘exertion headache'. These occur simply because our blood pressure is raised suddenly and, for a short while, doesn't subside. Head pain is the result. The pain should disappear if you reduce the intensity of the exercise (or stop laughing so hard).