The headaches may be due to the quick stoppage of estrogen. I started getting ocular migraines with my birth control after using it for several months. I can say that I have not had one since I quite taking birth contol.
Switching pills may help (you'll want to discuss this with your doctor) and the lower the estrogen dose, the better. I believe there is even a pill that starts with a higher dose of estrogen but the dose is lessened in the pills leading up to your period (sort of like weaning you off I guess). I think one of them is Mircette, the 28 day packs have 26 "active"(21 white and 5 yellow) pills and two "inactive" (green) ones but the instructions say, that if you forget to take any of the yellow or green ones, to just discard them, so I assuming they aren't vital.
I actually experienced migraines each time I was on the pill. Although I used to get painful migraines when I was a child I can say that the only time I have had them as an adult was when I was on the pill. I never had one when I was pregnant, on Depo Provera or while taking nothing.
Hope this helps a little!
