I bought some very cool sunglasses in a drugstore a couple years ago. I wore them for biking. They gave me terrible headaches but I didn't figure out it was the sunglasses for a while. Finally I noticed my headaches stopped 15 minutes after I remove the sunglasses, and would resume after I put them on again.

Then i got better sunglasses and no more headaches.

Also check to make sure your helmet is not tight anywhere around your head.