I am 21. I am having frequent headaches and am often short of breath. Still gettting enough air, but I have to stop and take deep breaths to actually feel refreshed. Is there something seriously wrong?

Not good. I'm worried about the headaches. Any sudden headaches need to be evaluated.

Headaches by itself could mean aneuryism which isn't good.

Shortness of breath combined with headaches "COULD" be signs of allergies and/or Asthma. http://www.medscape.com/viewarticle/554964

I'd say see an allergist/asthma specialist.

Expect MRI, EKG, stress test, spiromitry (breathing tests), allergy tests, bloodwork as part of the diagnosis.

I know you may not be able to determine the triggers, but knowing if it occurs outside, inside, and what seasons, weather, ozone index, allergy index for that day, the worst seasons/months it's worse will all help.