Warm or hot compresses or heating pads are absolutely the worst thing for a headache - this causes the blood to flow more quickly through the veins and arteries which in turn causes the headache to worsen. I know it feels good when first applied, but resist and use a flexible ice pack instead, wrapped in a thin towel. If you don't have one, a bag of frozen vegtables or the like works just as well. For a migraine, I put the ice pack directly where the pain is as well as on the back of my neck, right at the base of my skull. For an every day tension headache, even a bad one, the neck works best.
I used Maxalt for a while for my migrains and it worked great. The doc now has me on Imitrex, which also works, especially the shots.
Good luck folks.
If you fall down 10 times, Stand up 11.