When I use the in ear headphones, I get a headache
Which headphone would you recommend that I would not possibly get a headache with?
Many ear buds put pressure on your ear canal and this could be the problem. Some come with different size silicone adapters and smaller ear pieces might help this. On ear or over the ear phones could solve this by not inserting into the ear at all. Also be aware of the volume level, "live concert" levels could damage your hearing, which is why I bring ear plugs to concerts, if it gets too loud I can always pop them in and reduce the volume that way. If it hurts to listen it's too loud.