I just got this as a tip in an email.
If you feel a headache coming on, massage your neck and shoulders, then massage a couple of drops of peppermint oil into your neck and shoulders. It feels good and brings warmth to this area.
Just this morning I had a slight headache and thought I'd try it. I had some peppermint capsules on hand which I bought at Puritan's Pride a while back. I stuck a pin in the end to pierce the capsule and rubbed the oil into my skin. It really did feel warm a short time later and had a nice scent.
I'd only caution that it's strong and may not be good for sensitive skin--or noses!
Hope this helps someone.