Activity-related headaches can be provoked by Valsalva maneuvers ("cough headache"), prolonged exercise ("exertional headache") and sexual excitation ("sexual headache"). These entities are a challenging diagnostic problem as can be primary or secondary and the etiologies for secondary cases differ depending on the headache type. In this paper we review the clinical clues which help us in the differential diagnosis of patients consulting due to activity-related headaches. Cough headache is the most common in terms of consultation. Primary cough headache should be suspected in patients older than 50 years, if pain does not predominate in the occipital area, if pain lasts seconds, when there are no other symptoms/signs and if indomethacin relieves the headache attacks. Almost half of cough headaches are secondary, usually to a Chiari type I malformation. Secondary cough headache should be suspected in young people, when pain is occipital and lasts longer than one minute, and especially if there are other symptoms/signs and if there is no response to indomethacin. Every patient with cough headache needs cranio-cervical MRI. Primary exercise/sexual headaches are more common than secondary, which should be suspected in women especially with one episode, when there are other symptoms/signs, in people older than 40 and if the headache lasts longer than 24 hours. These patients must have quickly a CT and then brain MRI with MRA or an angioCT to exclude space-occupying lesions or subarachnoid hemorrhage.