I get headaches from selenomethionine and yeast-based selenium also.
However, I can take methyl-selenocysteine (SeMC, both Life Extension or Jarrow have versions of this) without any problem. This is the form found in cruciferous and allium vegetables that is anti-carcinogenic and does not accumulate in the body tissues.
The other forms of selenium are known to trigger necrosis of both healthy and cancerous cells, a toxicity reaction, whereas methylselenocysteine triggers apoptosis of cancerous cells and not in healthy cells.