Peppermint oil combined with ethanol may be useful when applied topically for tension headaches.
A review (Kligler) found two studies that looked at peppermint oil when combined with ethanol for the treatment of tension headache. They rated the evidence a "B" for "inconsistent or limited-quality patient-oriented evidence"
In my own search I only found the same two studies listed in the review. The studies were placebo controlled, double blinded, and random crossover in design, so can be considered good quality experimental design, but they were limited in the number of subjects (one studied 32 patients and the other 41 patients). They did find that the topical application of peppermint oil and ethanol reduced headache severity.
These studies only considered tension type headaches, so the results may not be applicable to other types of headaches.
Gobel H, Schmidt G, Soyka D. Effect of peppermint
and eucalyptus oil preparations on neurophysiological
and experimental algesimetric headache parameters.
Gobel H, Fresenius J, Heinze A, Dworschak M, Soyka
D. Effectiveness of oleum menthae piperitae and
paracetamol in therapy of headache of the tension type
[German]. Nervenarzt 1996;67:672-81.
Kligler, Benjamin and Sapna Chaudhary. Peppermint Oil. American Family Physician. Volume 75, Number 7; April 1, 2007