Hi, there are a number of major blood vessels in the head, especially coming off the carotid artery. It is common for these to pulsate during times of exercise or anxiety as the heart pumps faster. Have a look on google for pictures of arteries in the head and see if they correspond to the area you mention.
I have this problem after lifting weights. The area affecting me is on the hairline just above my temple.
It's a nerve happens to most people I'm one of them and it does feel like a bug crawling across your head :>)