My first cold ride this year was in about 35 degrees and it was raining the last half of the ride. I wore tights, an underarmour shirt, and a hat. After about fifteen minutes I got the worst headache, actually it was like the bridge of my nose and under my eyes. It was so weird. I had to stop and put my hands on my face to warm it up and then I was fine.

It happened again the next day, but not as bad. I guess I just wasn't used to the cold because I went from riding in 70 degrees one day to 35 the next. It was a quick adjustment, but I got used to it. Maybe after a few more days of riding in the cold it won't happen anymore, but wearing a hat is a good idea.