Hi ben1,
Each person’s experience on the same pillow can be very different and the “right” pillow for each person can be more subjective and preference based than a mattress.
There’s a lot more information and feedback about pillows from forum members in the pillow thread here and the additional posts and threads it links to in the third post of the thread.
I personally have two latex pillows which I like and work well for me. One is a zoned high loft plush and the other is a shredded latex pillow which I currently sleep on and is my current favorite (although my pillow preferences also change from time to time). My other half sleeps on a memory foam pillow which is height adjustable which is her favorite and seems to work best for her.
There could be many reasons that a pillow may cause a headache ranging from a pillow that isn’t keeping your head and neck in good alignment in all your sleeping positions, a sensitivity to the material, or even for some people that are more sensitive the actual smell of a pillow (regardless of whether the smell is actually harmful) but I think it would be fair to say that the most likely cause to the degree that a pillow is a contributing cause of headaches would be an alignment issue.
Phoenix