Before I had my first "hangover" I assumed I never had one either. It wasn't that I never had one, it was that I never dunk enough at a time to have one that was bad enough to identify as a hangover. Plenty of times after a late night of drinking I'd feel a bit bad in the morning, but I just assumed it was from the sleep deprivation rather than the alcohol.

If you never drink too much at one time you won't get hangovers. I don't think the mechanism behind it is fully understood.