I installed a fresh Ubuntu desktop guest on VirtualBox 4.3.14. Trying to install VBox additions I was getting an error message:

The headers for the current running kernel were not found. If the following
module compilation fails then this could be the reason.

 

Apparently all I had to do is reinstall the headers using the following two commands:

sudo apt-get remove dkms build-essential linux-headers-*
sudo apt-get install dkms build-essential linux-headers-$(uname -r)

Trying to reinstall Linux Additions for VirtualBox works like a charm!