I always get a headache if I don't have my daily dose of caffeine. But I'm not an addict. I can stop anytime I want. I just don't want to.
There's an interesting article in Wikipedia about caffeine tolerance and dependency.
Tolerance and withdrawal
Because caffeine is primarily an antagonist of the central nervous system's receptors for the neurotransmitter adenosine, the bodies of individuals who regularly consume caffeine adapt to the continual presence of the drug by substantially increasing the number of adenosine receptors in the central nervous system. This increase in the number of the adenosine receptors makes the body much more sensitive to adenosine, with two primary consequences.[55] First, the stimulatory effects of caffeine are substantially reduced, a phenomenon known as a tolerance adaptation. Second, because these adaptive responses to caffeine make individuals much more sensitive to adenosine, a reduction in caffeine intake will effectively increase the normal physiological effects of adenosine, resulting in unwelcome withdrawal symptoms in tolerant users.[55]
Other research questions the idea that up-regulation of adenosine receptors is responsible for tolerance to the locomotor stimulant effects of caffeine, noting, among other things, that this tolerance is insurmountable by higher doses of caffeine (it should be surmountable if tolerance was due to an increase in receptors), and that the increase in adenosine receptor number is modest and doesn't explain the large tolerance which develops to caffeine.[56]
Caffeine tolerance develops very quickly, especially among heavy coffee and energy drink consumers. Complete tolerance to sleep disruption effects of caffeine develops after consuming 400 mg of caffeine 3 times a day for 7 days. Complete tolerance to subjective effects of caffeine was observed to develop after consuming 300 mg 3 times per day for 18 days, and possibly even earlier.[57] Partial tolerance to caffeine has been observed in all other areas, studies with mice indicate that after a long period of caffeine exposure the learning benefits of caffeine observed earlier cannot be found to any significant level. Considering that 80% to 90% of American adults consume caffeine daily, and their mean daily caffeine intake exceeds 200 mg/day,[58] it can be surmised that a large fraction of the U.S. adult population is completely tolerant to most of the effects of caffeine.
Because adenosine, in part, serves to regulate blood pressure by causing vasodilation, the increased effects of adenosine due to caffeine withdrawal cause the blood vessels of the head to dilate, leading to an excess of blood in the head and causing a headache and nausea. Reduced catecholamine activity may cause feelings of fatigue and drowsiness. A reduction in serotonin levels when caffeine use is stopped can cause anxiety, irritability, inability to concentrate and diminished motivation to initiate or to complete daily tasks; in extreme cases it may cause mild depression. Together, these effects have come to be known as a "crash".[59]
Withdrawal symptoms—possibly including headache, irritability, an inability to concentrate, and stomach aches[60]—may appear within 12 to 24 hours after discontinuation of caffeine intake, peak at roughly 48 hours, and usually last from one to five days, representing the time required for the number of adenosine receptors in the brain to revert to "normal" levels, uninfluenced by caffeine consumption. Analgesics, such as aspirin, can relieve the pain symptoms, as can a small dose of caffeine.[61] Most effective is a combination of both an analgesic and a small amount of caffeine.
This is not the only case where caffeine increases the effectiveness of a drug. Caffeine makes pain relievers 40% more effective in relieving headaches and helps the body absorb headache medications more quickly, bringing faster relief.[62] For this reason, many over-the-counter headache drugs include caffeine in their formula. It is also used with ergotamine in the treatment of migraine and cluster headaches as well as to overcome the drowsiness caused by antihistamines.
So caffeine actually causes real physical dependency, and you will suffer from fairly unpleasant withdrawal symptoms if you try to quit cold turkey.