Reviving and old thread, I want to step in and recommend this:

http://www.halorejuvenator.com/

It's basically just a circular band with weight evenly distributed around the top. You wear it, flex your neck a bit, and go about your business (you can do exercises with it, too, to strengthen your neck, which is supposed to help with the headaches).

I've had mine for about two weeks now and it's pretty cool. When I first started using it, my neck would crack and pop when I turned my head or rolled my neck (just like that breakfast cereal ), and that still happens a bit, but there's been a lot of improvement in my neck and head in just a couple of weeks. Usually, putting on the headband when I first feel a headache coming on will nip it right in the bud. I've noticed a definite decrease in pain and in the frequency of pain related to headache since I've been using this.

I got good results with chronic shoulder pain by using a simple set of hand weights a couple times a day (just stretching and a bit of light lifting, nothing major), so it makes sense that I'm getting results from weight exercises for my neck and head.

A note for people outside the U.S.: I had to get a friend in the States to buy one of these and send it to me. None of the outlets I found for it would ship overseas. The actual manufacturer never even bothered to reply when I asked if overseas shipping was a possibility. So it could be tricky to get one. I will say that I believe it's worth it, though, if you suffer from tension headaches or neck pain. I'm definitely sold on this very simple but extremely effective device.