What could be causing my 9 year old to be having frequent (1-2 times/week) headaches?

Have you had his blood sugar checked? Its possible that with all that activity he is having a problem with his blood sugar dropping. Exercise can cause it to lower that is one reason that diabetics are recommended to get more exercise. Also if he hasnt had a snack between dinner and bedtime maybe its dropping a little then too. Just an idea. Hope you find out what it is so that he will feel better.