A randomized trial touts the efficacy of acupuncture in tension headaches. Unfortunately, acupuncture is rarely covered by insurance:

"In a randomised controlled trial - the gold standard of clinical trials - researchers in Germany divided 270 patients with a similar severity of tension headache into three groups.

Over an eight week period one set were treated with traditional acupuncture, one with minimal acupuncture (needles inserted only superficially into the skin, at non-acupuncture points), and one group had neither treatment ('control' group).

Those receiving traditional acupuncture care saw their headache rates drop by almost half - suffering 7 days less headaches over the four weeks following the treatment. Those receiving minimal acupuncture had 6.6 less days of headaches. While the control group experienced 1.5 less days of headaches - a drop of just a tenth.

Improvements to headache rates continued for months after the acupuncture treatment, though they began to rise slightly as time went on."

("Acupuncture cuts tension headache rates by almost half", Medical News Today, Jul.29)