I've taken Provigil since August, last year. I had mild headaches when I first started the Progil, but they went away pretty quickly (within a few weeks). I have a propensity for migraine headaches--which I have other treatments for.
Now, my migraines are even down in number. I can't attribute this to the Progil, of course, but it does show that after a short while, the headaches in my case, went away. I do, however, only take half of what the doctor orginally ordered.