I've gotten some headaches from sniffing imps... but I'm very prone to headaches anyway. Luckily, none of the scents I've tried so far have made me have headaches while wearing them.
As a side note, if any of you are breaking out into hives, it may not be the oil at all. I break out into hives all the time, because my skin is super dry. I put some lotion on, and usually it goes away.