I have severe chronic migraines, so my solutions to headaches are a little "out there", since nothing helps consistently.

I have migraines, so I do a lot. I wear sunglasses (yes, I am Stevie Wonder (or not)), and lay down in the dark. I realign my spine, and hang my head off the bed. It sounds idiotic (and feels it), but that's what the physical therapist says...
I take a tiny little pill that isn't intended for migraines (apparently, non-headache meds also help, but more quickly). Sometimes it works. Yay. The other times, I have to give myself a needless injection of Imitrex. It hurts like you would not believe, but it puts me to sleep, and takes care of the headache (usually). Otherwise, I just stay in the dark and try to relax.
Sometimes I feel like the medicines that I haven't tried before work because I don't have any proof that they shouldn't, whereas I don't have much faith in medicines I have already used (if they didn't work).