I use a scented rice or flaxseed filled heating pad (such as this
) on my forehead. Although it usually doesn't "cure" the headache, it at least relieves it while the heat is applied.
I also drink extra milk, especially if it's a hormonal headache accompanied by dizziness. I guess my body is lacking something during that time of the month that milk can provide.
Also, what makes my headaches worse is bright lights or reading, so I will wear sunglasses (even indoors) and don't use the computer/TV. But I have a natural sensitivity to light so this may not be an issue for you.
Tylenol also helps, though 90% of the time I avoid medications, I don't like the side effects. It usually comes down to a choice between having the headache or having nausea from medication, and often I prefer the headache.
Finally, the only real solution I have found is to go to sleep. Some days I wake up and have a headache that gets progressively worse throughout the day and no amount of remedies will fix it. I just have to sleep it off.