I've never gotten a headache from hot peppers, in fact it's the opposite for me. I get sinus headaches off and on, and a nice bit of spiciness tends to get rid of them. Decongestants of various types don't work (in fact they usually make the headache worse), but fresh hot peppers or a couple of spoonfuls of good spicy sauce works almost every time.
Of course, that's a specific type of headache. I have noticed no improvement with cluster headaches from pepper consumption. And thankfully I am not prone to migraines. But sinus headaches - yeah baby. Pass me that Bhut Jolokia, please. That'll make it all better.
Your mileage, of course, might vary.