I know what you're talking about with the caffeine - i'm pretty overweight, last year i decided to try and get fit so I dropped snacks/sweets, started eating healthy, and dropped cola, aswell as started exercising every day.
I had the most awful headaches and felt really rough, i couldn't keep it up so I fell back into the old habits.
This year I quit drinking caffeine about 2 months ago, and had the exact same thing, headaches and tiredness, it took about 3 weeks for it to pass, and about 2 weeks ago i started exercising, dropped snacks/sweets and am drinking one glass of orange juice and the rest water every day.
I've never felt better - I started off only able to cycle 2 miles, within 3 days i was doing 4 miles, and this morning i did 8 miles, and i'm still feeling good.
They give all these warnings about Nicotine and Alcohol, but it turns out Caffeine is just as bad!