Will sleeping with wet hair give me a headache? And why? What causes
it, if it does, etc.?

I heard about this before and was curious to know the truth behind the
'myth'. Also, I take showers about 15 minutes before I sleep so I was
just curiuos.

This sounds like an old wives' tale to me. Similarly, there's a myth
that is widely spread by moms and grannies that going outdoors with
wet hair will cause you to catch a cold.

Yikes. Here's a really scary wet-hair myth:

"Blind Item

Old folks say sleeping with wet hair will make you blind. My mom has
been telling me that since I was a kid. In all fairness to her, that
can probably happen if you sleep on a bed of nails. Otherwise, there?s
no connection between the two according to Dr. Noel Santos, former
president of the Samahan ng mga Optometrist sa Pilipinas (SOP). Santos
believes this myth was perpetrated by mothers who didn?t want the
pillowcase to get wet."

http://www.netasia.net/users/truehealth/Eye%20Care%20Myths.htm

This is interesting:

15 Hair Care Myths By Michael Barrows 
http://www.disabled-world.com/artman/publish/hair-care.shtml

Thanks for the links!

Garyking
I think you will be just fine. Your pillow might get a wee bit
faded though.
DPRK007

No.