Try migrastick! They're sold at my local health food store. It's basically lavender and peppermint and something else in a roll-on. My sister gave me something similar, homemade from the farmer's market in a lip balm tube. I use that when I have a bad headache. I also have a massage lotion called Lasting Touch which has all sorts of good stuff in it, such as capsacin, msm, arnica, etc. It's really helpful on the back of my neck if it's a tension headache.
Lots and lots of water too.
Pregnant women, it seems, experience lots of symptoms similar to detox. I think it's because our digestive systems aren't working as efficiently as before and the toxins in our bodies need to come out in different ways...like headaches, acne, body odor, and all that other glamorous stuff.