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The things to watch out for are the so-called "First or Worst headaches." In other words, if you start to have a headache that is unlike any headache you've had before, or if the headache is the worst you have had in your life and getting worse, it is time to seek medical attention sooner rather than later.
Other signs to look out for: A "thunderclap" headache - on that comes out of nowhere and starts pounding. Double vision, nausea, problems with short term memory or confusion are also red flags.