If you are experiencing symptoms you have never felt before, go to the hospital.For example, I faint a lot, so I wouldn't go to the hospital or even a doctor for that. On the other hand I rarely get headaches and when I do they are relatively mild. One tylanol is always enough and I often just let it go away itself. So, if I did get a really bad headache I would go to emergency.
Excellent point about knowing your typical symptoms. I would take this one step further, and advise to try and have healthy sleep patterns at all times. Not only can unhealthy sleep patterns contribute to health problems in the long run, but symptoms of sleep deprivation (i.e. headaches, dizziness, fatigue) can actually indicate serious medical problems, If you're constantly tired from not sleeping, it's easy to dismiss it as "just being tired."