Every single time I go to Dairy Queen and get my Banana Cream Pie Blizzard, I get an ice cream headache.  Now, I know why...

Yahoo! Shine explains that the headaches can in fact come from eating any really cold food or drink, and it happens when some of what you're eating touches the hard palate, which is the roof of your mouth.

That triggers nerves above the palate to cool down quickly and send an emergency message to the brain that it's about to get cold, leading the blood vessels in the brain to constrict. When warm blood rushes through the blood vessels again, you get an ice cream headache.

Shine! says you can speed up the headache going away if you touch your tongue to the roof of your mouth and hold it there, warming up the palate and calming down the brain's reaction.

And to keep them from happening in the first place, eat cold foods slower and try to keep them away from the roof of your mouth.

Right.  Have you ever had a Banana Cream Pie Blizzard?  Can't eat it slowly.  I will just have to suffer the ice cream headache.