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I've read many years ago in books, that the brain has no nerves on it, and if someone was touching your brain, you couldn't feel a thing.

Just two days before now, I had a very bad migraine, due to a cold. It's become better now, but when I had it I felt my head was going to literally split in half, as the pain was literally coming from my brain.

So it lead me to the question: How come people can get headaches if the brain has no nerves?

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The brain does not. However, the skull, muscles, and skin surrounding it to. :) Pressure differentials (your sinus cavities expand beyond your nose!) and sore muscles (especially neck muscles) can cause or contribute to headaches. –  MCM Oct 1 '12 at 0:47
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The brain "has" nerves, depending on how you define it: en.wikipedia.org/wiki/Cranial_nerve more accurately as January notes it lacks nociceptors. –  Ben Brocka Oct 1 '12 at 15:17

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Brain, indeed, cannot feel pain, as it lacks pain receptors (nociceptors). However, what you feel when you have a headache is not your brain hurting -- there are plenty of other areas in your head and neck that do have nociceptors which can perceive pain, and they literally cause the headaches.

In especially, many types of headaches are generally thought to have a neurovascular background, and the responsible pain receptors are associated with blood vessels. However, the pathophysiology of migraines and headaches is still poorly understood.

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That the brain doesn't have pain receptors has somewhat drifted into the corpus of general knowledge, perpetuated by pamphlets, books and documentaries.
Your question caused me to look up wikipedia. Citing:

A headache or cephalalgia is pain anywhere in the region of the head or neck. It can be a symptom of a number of different conditions of the head and neck. The brain tissue itself is not sensitive to pain because it lacks pain receptors. Rather, the pain is caused by disturbance of the pain-sensitive structures around the brain. Nine areas of the head and neck have these pain-sensitive structures, which are the cranium (the periosteum of the skull), muscles, nerves, arteries and veins, subcutaneous tissues, eyes, ears, sinuses and mucous membranes.

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You are correct in that the neurons themselves do not sense pain. However, the brain contains layers of coverings, blood vessels, the scalp and some muscles. All of these other structures have pain receptors. The coverings of the brain are called meninges and consist of the dura, arachnoid and pia. The dura in particular has a lot of pain receptors and may be responsible for many headaches. As a neurosurgeon I have seen this first hand during awake brain surgery when we open the dura. The patient usually doesn't report any pain when you drill a hole in their skull. However, they start to report dull pain or headache when you stimulate or touch the dura.

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@ area51 - "The patient usually doesn't report any pain when you drill a hole in their skull" ? –  Ram Manohar M Sep 3 '13 at 13:22
    
They're probably under a local anesthetic, but it would be less shocking if that was noted explicitly. –  Jeremy Kemball Sep 4 '13 at 23:00
    
The local anesthetic only numbs the scalp not the bone. Generally patients don't experience bone bain when drilling the bone. The next layer encountered is the dura. We generally don't number the dura and patients may report a dull pain or headache when manipulating or cutting the dura. –  area51 Dec 23 '13 at 19:56

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