Paranoid About Pill

So I don't know if anyone else has seen all the stories about girls who have died from blood clots from taking the pill, but it seems like they are always popping up. How scary is that? I'm currently on the pill, I just started 2 months ago. If you look up the percentages/chances of that happening, it's really low given the number of women who are on the pill. My doctor said though, when I started to be concerned if I have "the worst headache ever" so of course, now everytime I have an above average headache I flip out. So scary. Does it worry anyone else?