The vast majority of headaches — even severe ones — are harmless, if miserable. But a few patterns are worth taking seriously: the worst headache of your life arriving suddenly, a headache with fever and a stiff neck, or one that changes with position or comes with new weakness or vision changes.
If a headache is simply frequent and wearing you down, that is also a good reason to come in. Migraine is far more treatable than most people realise.