that Cheryl posted her study just before your question...
I did a quick search for migraine on the internet and found a lot on food allergies and migraines.
So, I did a search on PubMed for migraine and found this study:
Migraine and coeliac disease.
Serratrice J, Disdier P, de Roux C, Christides C, Weiller PJ.
Service de Medecine Interne, Hopital de la Timone, 285 Boulevard Jean Moulin, 13005 Marseille, France.
The pathophysiology of migraine remains unclear. To incriminate a comorbid factor is always hypothetical, even if suppression of this factor appears to prevent the migrainous attacks. In our patient, treatment of coeliac disease coincided with total disappearance of severe migraine attacks. Moreover, the coeliac disease was first revealed during the evaluation of a migraine with aura.
PMID: 11398309 [PubMed - indexed for MEDLINE]
Another one about headaches and celiac disease:
[The prevalence of headache in a population of patients with coeliac disease]
(I'm not going to quote the whole abstract, you can read it by clicking on the above link)
CONCLUSIONS: An increased prevalence of both migraine and tension headaches was observed in the coeliac patients studied as compared with data published in the literature.
Maybe you can try eliminating gluten from your diet for a month and see if you feel better. You could also try eliminating the most common food allergens and see if that helps.
Also, Feverfew, an herb seems to be helpful in preventing migraines. Don't know from personal experience, but there is a study on it below: