At the casual recommendation of my neurologist at the Jefferson Headache Center I tried Sinus Buster a few years ago. While I'm pretty sure there haven't been any studies performed to test its efficacy, doc said that several patients of hers had reported relief using the spray.
As you probably know the spray is essentially concentrated capsaicin--the component of hot peppers that make them hot. And you sniff in hard as you spray to get the liquid to reach as high up your nose as possible. The upper parts of the nasal cavities are very thinly separated from the paranasal ethmoid sinuses. This area is very sensitive due to it's innervation by the maxillary branch of the trigeminal nerve--a nerve that innervates the face and is believed to play an important role in migraines and head pain.
So the idea behind the Sinus Buster spray is that repeatedly spraying the sinus wall with a powerful irritant will *desensitize* the nerves in that area, hopefully alleviating pain.
I used the spray for several weeks without much luck but I recommend giving it a shot. As my neurologist is fond of saying, if the treatment poses no risk of harm then there's nothing wrong with giving it a shot. And don't worry about spray hot pepper concentrate up yout nose--it is quite a strong sensation, especially the first time, but not particularly painful.
Hope that helps. Though I agree with Sara that most often OTC medications don't help much with refractory headache. But due to its relatively unique nature there's not too much of a risk of rebound, which is nice. And I also would prefer not to discuss prescriptions in depth without knowing more about your situation but Janice is right that some of the non-OTC sprays that can be helpful are Migranal (ergotamine), Lidocaine (anesthetic), some opioid painkillers and even Ketamine (very strong anesthetic). I have tried all of these if you have specific questions.
DX: NDPH, Recovered CRPS
RX: Lamictal, Provigil, Clonazepam, Ambien CR, Emsam, Namenda, Oxycontin, Oxycodone
PRN: Haloperidol, Zyprexa, Lodine, Zofran, Skelaxin