I've been wearing glasses since I was about 7 years old (I am now 26). I wear glasses from the moment I wake up until I go to bed (except in the shower).
I've had this problem for a very long time where the glasses leave a dent in my head. I can clearly see it in the mirror whenever I have just taken off the glasses and can also feel it when I move over it with my hand. Aesthetics-wise, it doesn't bother me, but I feel that it gives me a headache at times, especially when it's warm or I've just done some heavy exercise. I think that the heat causes the veins in my head to expand, but they are unable to because they are pressed shut by my glasses. When I take off my glasses and feel the dent when it's hot or I've just done a workout, I can feel the veins pulsating easily. I usually get a headache, but it feels relieved when I take off my glasses for a bit. Is this perhaps a psychological effect or my tight glasses be causing headaches? I've had similar problems with other frames in the past.
I have taken my glasses to the store halve a year ago explaining my problem, but the people there didn't really say much. They just took it to some other room, came back after 5 minutes, said they adjusted it a bit (I personally couldn't see a difference) and charged me 5 euros. It didn't solve the issue I had at all but it did make me 5 euros lighter.
EDIT September 2016: I notice this topic is gaining a lot of attention. The problem is actually solved now; the tight frames did in fact cause the headaches. At the time I posted this question I was wearing a metal frame that was not wide enough for my head (for 8 years). It's true that a skull is supposed to have those dents along the head, but the tight frames made it much more distinctive.
3 months ago I bought new glasses and I specifically looked for a frame that felt both comfortable and sturdy on my face. The frame now goes along the skin of my head instead of pushing it in. I no longer have the headaches which used to be so common for me. The trade-off is that it doesn't sit as tightly on my face as before, but I can run without my glasses falling off.