I think Rose Marie meant "J'ai un mal de tête". I don't know if that would be considered less formal. This thread on WordReference suggests it's more complicated than that.
One user says:
On dit "j'ai mal à la tête" ou "j'ai un (violent) mal de tête"
Dans la deuxième expression, il y a toujours un adjectif pour qualifier le mal de tête.
Another user says that there is often an adjective, but not always.
Just a slight correction: J'ai mal à la tête. This is perfectly ok to say, and it is certainly not slang.
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