They are all fairly common and normal-sounding words used to describe this sort of situation. Note you can say something is "a pain" or "a headache" but not "a trouble" (it's a mass noun).
I would guess from most to least common, when dealing with troublesome tasks: pain, headache, trouble (I could easily be quite wrong here). When dealing with non-troublesome tasks: "no trouble" is common, but pain and headache are not so commonly used in similar negations.
Oh, that would be a pain.
That's a bit of a headache.
Can you see any trouble with that?
That's no trouble.