My headaches (chronic migraines) have significantly DECREASED since I started Alli on June 25. I was having at least one a week, usually more. Now I have only had 3 total since starting.
One thing to look at, have you significantly cut down on caffeine? That can cause severe headaches and if that is the cause it will eventually subside. I had to slowly decrease my caffeine, but I do keep the 100 calorie mini cans of Coke in the fridge for when I feel a migraine coming on. And I be sure to add those to my food journal. I have to drink at least my 1 cup of coffee in the mornings or I will get a headache for sure.
I hope you can get to the bottom of the headaches. And 4 lbs in 3 weeks is great. Remember 1-2 lbs a week is "normal" so you are doing great!