I get two types of headaches - mild ones, which do not require any medication at all, and more serious ones (those happen rarely, maybe once three to six months). And I'll be happy to test all kinds of alternative solutions to headaches during mild episodes~
But when actual, heavy migraine comes over me - medication are the only solution I see. Without it I eventually go completely dumb with pain and just lie in bed for hours straight, only to remember later that I need to take my pills. Which follows by yet another stay in bed in pain for a shorter period of time, waiting while medications take effect. So nope-nope, no aromatherapy or "applying pressure" for me during those attacks :D