I find Exedrin to be the best thing for my headaches. I've been getting migraines a couple times a month since for about the last 10 years and for all but the really bad ones, it knocks them right out after about 20-30 minutes.

If you're against taking anything for it, putting an ice pack at the base of your skull helps a bit. Putting it on your forehead can also help... different spots work for me at different times.. kinda depends on where it hurts. Also, drinking something with caffeine can help too.