For painful migraine, one thing that works for me is to take some cayenne pepper and inhale it back up into the nostril on the affected side (for me it's the right).
There is also a cayenne-containing product called Sinus Busters which has been helpful with minor headaches. Of course, nothing which contains cayenne is going to pack quite the punch that sticking 1/8 t. up into your very sensitive membranes does...but the spray has been a little effective for me (it's got feverfew and a couple of other ingredients). However, the cayenne acts on your opiate receptors much in the same way, well, that opiates do -- but without the narcotic effect (and the nausea they can produce, which can be overwhelming to me on top of how sick I already feel).
Last fall I had some luck with an Epsom Salt bath plus the cayenne.
I do keep Maxalt on hand but hate to take it as the pills cost $25 each and are not always effective....