h2g2 The Hitchhiker's Guide to the Galaxy: Earth Edition

are partle caused by your body oxidising ethanol to acetaldehyde (ethanal) and it is this rather toxic aldehyde that gives you a headache

Another piece of useless info on aldehydes

If you went to an oxygen bar, would the saturation of your blood with additional O2 help break the formaldehyde down or change it into something less nasty?

Maybe, but it would also hasten the break down of your cells due to oxidisation (or should that be oxidation?)

No it wouldn't because these things are controlled by catalysts (enzymes) in the body and extra oxygen probably would make no difference.
In fact, as the poster above says it would lead to increased oxidative stress in your cells and cause even more damage.

Don't go around breathing pure oxygen unless you have emphysema