ER doctors are, in my experience, reluctant to give pain medicine; and neurologists that don't specialize in headache management have been arrogant and rude to me in the past because they think the pain is "all in your head" (I was actually told this once 8 yrs ago). I now see a neuro that is a headache specialist, and she has given me the pain medicine that I need when I have severe migraines.
Also, like Sugar9486 stated, the rebound effect that some narcotics (such as Vicodin) have on the headache is sometimes worse than the migraine itself. My neuro has me take Dilaudid for pain when needed, since she said that it seems to be less likely to cause rebound headaches and tends to be accepted well by her patients.
Find a good neuro that specializes in h/a's. I can't tell you how much this has helped me - even though I'm still having migraines 3-4 times a week, it helps soooooo much to know that someone believes you and knows what you are going through!!
DX: Migraines, Tension Headaches, PFO
RX: Lyrica, Cymbalta, Verapamil, Migrelief
PRN: Zomig, Toradol, Dilaudid, Valium