Exercise has so many benefits, it's hard for me to think of cases where it isn't a positive trade. Increased agility and strength (..depending, hiking's good), reduced mortality, at least in my case I think better with regular exercise, more energy overall..

I don't consider myself an exercise maniac, but I do layout my vacations such that I can go hiking. It's just plain enjoyable, especially with family.

As for your headaches.. thinking about it, it sounds like you're indoor a lot. It may be a reaction to low oxygen content or generally bad air; have you tried just going outside when one starts? You don't need to exercise, just.. sit outside. Though the benefit is questionable if you live in a city.