I don't know about the C25k plan or quite what exercise is involved, but my son was having the same problem with gym workouts. Then he went away on one those exercise and diet retreats where there were all sorts of coaches (diet, relaxation etc) and a personal trainer, who pointed out my son's posture during exercise was incorrect. The worst thing was holding his neck/shoulders in a bad position whilst doing certain exercises, of which he was completely unaware, so the trainer taught him how to do a workout correctly to spare his neck. No more exercise related headaches after that... so I wonder if that's the cause of your own headaches...
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