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!
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