I used to get exertion migraines, a throbbing near my temple, that would throb with my pulse. So painful, and I didn't know where it was from, so I didn't get to play half of my Senior LaX season. But anyways, finally figured it out after cat scans & MIRs and all kinds of stupid tests. It was my stupid prescription meds!! Not critical meds either, for acne, stupid doctors are pill happy. Anyways I'm getting off topic ...
Are you on any meds? Could be a side affect.
How is your diet? Might want to try a multi-vitamin.
How much water do you drink? Caffeine dehydrates you, so it is really important to drink plenty of water.
I would be leery of any head pain when working out. Be careful, the pain no gain is associated with muscle/lung burn, not head. Just try working up slowly I guess as one of the others mentioned.
BTW 5'10 @ 168lbs isn't fat, I'm 5'10 and 175 with a bit of pudge (couldn't get to the gym last term).