From MSNBC: 
If you’ve ever had a headache while trying to choose between a sure thing and a more risky option with higher rewards, it might be because conflicting parts of your brain are waging war against each other. A new study found regions in the brain that are active when a person decides whether to exploit a known commodity or explore a potentially better option. The finding, published in the June 15 issue of the journal Nature, suggests that in order to explore new and potentially rewarding options, the brain must override the desire for immediate profit.
The researchers analyzed study participants’ brain activity as they played a gambling game with four animated slot machines. The machines had various reward patterns, and the machine with the highest payout alternated randomly during each session. After the game, 11 of the 14 the participants reported occasionally trying the different machines to figure out which one currently had the highest payout (exploring), while sticking to their machine when they thought they were on the big money-maker (exploiting).
More here.