When you get an epidural or spinal anesthesia, there is a risk that the dura, the covering of the spinal cord, will be pierced. If this happens a severe headache can occur. The risk of this complications is about 1/100. It is more common with a spinal than an epidural, but possible with both. The epidural is not intended to puncture the dura as a part of the procedure, whereas the spinal anesthesia does, this is why it is more common to have a spinal headache with this type of anesthesia. Many women talk about this being the most severe headache they have every experienced.
You can help lower your risk of the spinal headache by holding still while the needle is being placed. Treatments are available, including medications and a blood patch.
Planning Your Childbirth: Pain Relief During Labor and Delivery. American Society of Anesthesiologists. Accessed February 16, 2011