Might be common knowledge but I just learned this from a website I subscribe to that emails a daily, generally very interesting short tidbit from a nonfiction book called Delancyplace.com I am continually amazed at the complexity of biology and what it has developed to help insure survival. This cut and paste contains the gist. Delancyplace.com if you want the complete story.
"The same thing happens to the capillaries in the roof of your mouth. But in this case it's not constriction that causes the pain. Instead, it's the fact that more blood heads to your brain in an effort to keep it warm. And because your brain is contained in your skull, all the extra blood causes an increase in pressure, leading to a headache. The brain is perhaps the most important organ in your body and has developed extremely fast artery dilation and constriction methods as protection. And so when faced with extreme cold* whether outside or inside the the body -- it reacts immediately.
"But once the substance has been removed or swallowed, the capillaries in your mouth rapidly dilate (expand), potentially causing even more pain. The same nerve that senses pain in the forehead has receptors on the roof of your mouth that detect the dilated capillaries, and these receptors send a pain signal to your brain. Which is why your forehead often feels the bulk of the pain."
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