like others have said:
headaches can be due to
1) Carbon Monoxide. either from the coals being lit, or from the coals themselves
2) Nicotine. Nicotine poisoning can cause headaches
3) Lack of Oxygen. This is an assumption, but if you hit the hookah too rapidly, while not getting enough oxygen, you may get that head buzz, but also can cause headaches.
4) Other causes could be bad charcoal (chemikills such as accelerants from the charcoal could give you a headache, not limited to sulphur), food coloring in the tobacco, too much glycerin, overheating the bowl.