If it hasn't happened to you, count yourself as lucky. For many people, eating ice cream or drinking an icy drink too fast can produce a really painful headache. It usually hits in the front of the brain, behind the forehead.
The technical name for this phenomenon is cold-stimulus headache, but people also refer to it as "ice cream headache" or "brain freeze."
The good news is that brain freeze is easy to prevent — just eat more slowly. The other bit of good news is these headaches don't last very long — a minute at the outside.