Some people have post-coital headaches, but this is generally a diagnosis of exclusion.
I've seen my share of people who have came to the ED with headaches that occurred during strenuous activity/sex. A few of them went to the OR for aneurysms.
Don't automatically think it's a benign thing. I hope it is in your case. Let that be a diagnosis of exclusion rather than jumping at that diagnosis right off the bat. I would hate to see you severely disabled for not seeing a physician. (I would hope your physician would work you up with an MRI/MRA to rule out an aneurysm.)