Ever since my late teens, 3 or 4 days before AF I would get a blinding headache. It took me a long time to put the two together probably because I was young and wasn't really understanding my cycle. Nowadays I find that if I take something, Panadol etc, at the very first sign of the headache (even if it's a 2am) and drink heap and heaps of water that usually stops the progression. Funnily enough, when I was pregnant I didn't get 1 headache for 9 months but as soon as I got my period after DS was born the headaches returned.