I actually wake up with headaches quite frequently. I am fortunate that I only get a full on migraine every few months, but when they do happen, they almost always come on during the night while I am sleeping. I am typically woken by the pain and nausea and by that time I'm in the middle of a full blown migraine attack and cannot keep anything down to treat it. Often for me this means an eventual trip to the ER. In the last 10 years or so I have begun to have an occasional migraine that comes on during the day, which has led to the discovery that I do indeed get the "aura" before the pain. The first time it happened it scared me half to death b/c I'd never been awake for that part before. I thought I was having a stroke or something!
Anyways, since most often my migraines and even basic headaches do come on during sleep, I've had to try to find ways to mitigate this. None of the migraine abortive meds have worked for me, and I haven't tried any of the daily meds since the migraines are not super frequent for me. The one thing I've found, though, that I swear by, is IcyHot patches. I know - sounds weird! I have found that if I start to feel a headache coming on or wake up with one, I get up and get an IcyHot patch and put it right on my forehead and then go back to bed and try to get back to sleep for an hour or two. The menthol scent in the patch helps a little, and the cool feeling from it penetrates my forehead and relaxes the blood vessels that are in spasm causing the headache. For me, this works better than any medication ever has for most headaches. It does not cut a migraine for me, but as I said when I get those they are full blown before I can do anything about them, so the only thing that helps me at that point is IV meds at the ER. But for all other headaches, I can't live without my IcyHot patches! They are even on my list of essentials to pack every time I travel!