Unilateral Exertional Headaches

I am a 26 year old male that has recently begun working out at a gym.  Prior to going to the gym I worked out at home for a month (running, triceps, pushups, situps, curls)with no problems.
Now that I am at a gym, and with a weighlifting friend, my workouts have reached a much higher level of intensity.  I am doing as much weight as possible while still maintaining the ability to do 5-8 reps and 3 sets.
Anyway, I'd been doing this for appox. a week before my headaches developed.  I was doing a tough workout when suddenly I started to have a throbbing, unilateral (left), headache.  The pain was probably a 7 (on a 0-10) and slowly subsided.  I attempted to restart the workout and had the same result. I ended up leaving the gym early that day.
Since, I've had this reoccuring problem, I go to the gym, and when I strain, I still get this awful headache.  Sometimes I can work through it and the pain lessens over the course of the workout, but is always fairly strong at the onset of the workouts.  
This is quite discouraging.

Also noteworthy; about 2 months ago I had my first ever Migraine Equivalent (visual distorions w/o headache).  This was not diagnosed, my Dr. merely speculated that this was the most likely diagnosis.

What should I do?

[WyattEarp]

The doctor says "wait and see" though also gave me an order for a MRA head with contrast.  
This is odd, since I thought most headache tests were ct's or mri's.  Should I get another opinion or go through with this test?

I hate IV's!

[jabird]

I too have developed these symptoms.  I moved to Dallas only 3 weeks ago.  I signed with a gym and had a free session with a trainer.  The session was intense, but nothing unusual.  Since that time I have consistently developed sudden, intense, unilateral, throbbing headaches while pushing heavy weight.  These headaches are powerful, yet they fade quickly once I cease the exercise.  They have become so frequent and resilient that I almost fear my workouts, and often don't proceed after the first set at the first machine.  I've begun to play raquetball beforehand to warm up, however, that has produced zero positive results from what I can tell.
I'd like to know what the ultimate diagnosis of your condition is.