Headaches a symptom of lots of things, but you should definitely get it checked out before starting an exercise program and taking xenical. It could be tension, or an allergy. I used to get a migraine every spring, a horrible thing that left me bed-ridden for a day. When I moved to a new apartment, and spring came, I didn't get the migraine. Apparently I was allergic to some pollen from a plant that grew near my old apartment building. I haven't had one since. So there can be a lot of causes.