The best natural remedy for headaches I've found is fresh air (take some nice big breaths and try to relax as you feel the air coming and going through your nose/mouth), and when that doesn't work I go for a walk to get some coffee/water because both can be factors for headaches and migraines.
Keeping yourself hydrated is something a LOT of people forget. Some people are drinking fluids that rob them of hydration and can't figure out what's wrong. Give that some thought?