Headaches and nausea

So this whole pregnancy I have been very fortunate - very little nausea, no vomiting, no headaches, etc.. I am now 35 weeks and lately I have been having horrible headaches and nausea. I just started taking iron supplements since the doctor told me I am anemic - and those really just make it worse!

Anyways, are headaches and severe nausea in the third trimester something I should be concerned about for any reason, or completely normal? And if it is normal - any tips on how to make it any better?