The aim was to characterize the individual and socio-economic impact of headache in a patient population from The Danish Headache Centre. This was a cross-sectional study using a structured interview, prospective headache diaries and standardized self-administered questionnaires using the ICHD-II criteria. Fifty-five subjects (12 male and 43 female) with a median age of 41 years and a median headache frequency of 15 days/month participated. Very high utilization of the healthcare system and a high absence rate due to headache of 12 days/year were reported. Eighty-one percent experienced a marked decrease in work effectiveness. Overall, 91% felt hampered by their headache on a daily basis and 98% had had expenses for headache medication. Frequent headache disorders are highly costly, especially due to indirect costs. Prevention, early intervention or effective treatment strategies for headache disorders may therefore be highly cost effective, not only for the individual but also for society.