Imagine that one must either lose all of one’s certainty about some very important topic – about the meaning of life, for example – or a small amount of certainty about each of one’s more “mundane” beliefs – beliefs about the color of one’s socks, where one’s keys are, whether it will rain, etc. One ought to take the latter loss, no matter how many mundane beliefs are at stake. Conversely, if one had to give up a tiny bit of certainty about the important topic, or all of one’s certainty about most mundane topics, one ought to take the former loss. These two judgments generate what I call the “epistemic headaches-for-lives challenge,” so called because it resembles a challenge in ethics about the relative values of headaches and lives. In this paper, I argue for two things. First, our epistemic theories should accord with these types of judgments, and so must deal with the headaches-for-lives challenge. Second, this is a serious challenge for formal epistemology.