What you are describing sounds like "Ice Pick Headaches" They are a well described type of primary headache usually found in migraine sufferers. They do not usually indicate anything serious. Here is a good link to read about them"
http://headaches.about.com/od/otherheadpain/a/ice_picks.htm
See if they describe what you are feeling. Are your pains in the side of the head or in the eye?
Let me know, Quix
Also i'd like to add. Im not sure if this has anything to do with this problem. but i know a few times. i have panic and felt as if i was not breathing. and almost went into the ER. this happened not 2 long ago. when i was younger i'd get dizzy alot also.so im unsure if this could be a factor also. any thoughts/opinions/ideas would help in any way!