I'm betting it's an exertional headache. They come on fast, almost in a burst and can last minutes or sometimes hours. This is often due to extreme exertion for prolonged periods and is increased if you are not breathing enough. I actually went to the hospital for this once it was so bad. I can tell you as an athletic trainer (not personal trainer) many athletes get these. It's often on leg press or something of that nature and they are not breathing enough and they feel like a bomb just went off in their head.
There is usually almost no underlying serious condition but in athletes, bodybuilders, etc. it's often the combo of extreme exertion (beyond anything that's remotely normal or happens during normal exercise) combined with not breathing enough.
Lots of info on it online as well if you google exercise induced exertional headache. I know you mean though...they are not normal headaches...it feels like you are about to die.