Unusual headache disorders are less commonly discussed and may be misdiagnosed. These headache disorders frequently have a benign natural history; however, without reassurance, therapeutic education, and treatment, they can negatively affect the health and function of patients. This article reviews the clinical features, diagnosis, workup, and proposed treatments for several unusual headache disorders including primary cough headache, primary headache associated with sexual activity, primary exercise headache, cold-stimulus headache, primary stabbing headache, nummular headache, hypnic headache, and headache attributed to travel in space. Exploding head syndrome is also discussed, which is a sleep disorder commonly confused with a headache disorder. Unusual headache disorders are usually benign, yet without the correct diagnosis can be very worrisome for many patients. Through greater awareness of these headache disorders, neurologists can evaluate and effectively manage unusual headache disorders, which offers significant benefits to patients and practice satisfaction to neurologists.