Gosh, I hate migraines! I feel for you! They run on my mom's side of the family, so I get them from time to time. Thank goodness, it's rarely!!
I'm not really sure what you can do, since you're pregnant, but I know there are some medicines out there that are good for migraines. I think my sister said that Excedrine Migraine works wonders for her, but I haven't tried it.

What sort of migraine are you having? Some migraines improve with caffeine, while others get worse with caffeine.

Whenever I get migraines, the only thing I can really do is lay down in a dark room until it passes. Mine get so bad, though, that any amount of light bothers me, my left side goes numb, I get tunnel vision and sometimes pass out. It's almost like having the symptoms of a stroke, which scared me the first time it happened. Of course all of this is followed by the head-splitting headache. Ugh!
I hope you feel better soon! Migraines are no fun at all!
**hugs**