Should I eat the head of an octopus?
The parts that are inedible in an octopus of any size are the "insides" and beak. If you got it frozen, no need to worry about the insides but if you caught it yourself, you need to turn its bag inside out (it will fight but once it's inside out it will calm down!) and remove the white soft stuff in there with your finger. 

The beak is the only hard bit and amazingly determines the widest hole an octopus can fit through. It needs to be removed before cooking (I have been told but not sure there's basis for it). It's fairly easy to cut around the beak and discard the mouth.

A REALLY important point however you choose to cook your octopus is to NOT USE ANY SALT! It has a lot absorbed in it already and it will lose about half its volume while cooked. 

I would simmer it in a pan without any water (the rest of its lost volume is water) until you can easily pierce it with a fork and then chop the head and tentacles and finish them in a grill or oiled pan.

---edit---
Actually, the brain and eyes are not particularly appetising, so you might as well remove those as well...

And while we are at it, I assume you mean a common, mediterranean octopus with two sets of suckers on each tentacle; if you are referring to any other weird exotic things disregard my answer completely