I have the exact opposite issue. Migraines hit me when HIGH pressure systems move in... last time a Hurricane came through, I felt great (hurricanes have extremely low pressure).
When a High pressure front moves in, I can feel it immediately. If it's moving fast, I have to leave work before it gets to the point that I can't drive myself home. Excedrine Migraine and a ton of caffiene usually lets me drive home - even if I have to stop and puke on the way.
None of the traditional stuff worked for me. I now use Amerge - the price is outrageous. Along with the Amerge, I keep phenagryn (sp?) in the fridge - gotta stop the nausea long enough for the Amerge to take hold. All I can do is sleep until it subsides. The Amerge does make me sleepy, as does the phenagryn. I've often gone to sleep with a heating pad on my head, just make sure there's something around it so you don't wake up with a burned cheek :)
Honestly though, for me - the MSG headaches are just as bad as the weather headaches.
Life is not holding a good hand; Life is playing a poor hand well.
- Danish proverb