Frequent headaches and migraines are debilitating. They keep you from being productive at work and prevent you from being able to do the things you love. Several large well-conducted clinical trials have demonstrated that acupuncture is an effective treatment to reduce the frequency of headaches and migraines.
A 2017 randomized control trial published in the Journal of the American Medical Association concluded that true acupuncture (in comparison to sham acupuncture which acts as a placebo in the trial) was associated with long term reduction in frequency of migraines. 
The 2016 Cochrane review, Acupuncture for the prevention of episodic migraine, supported the use of acupuncture for reduction in migraine frequency. The systematic review confirmed that acupuncture was more effective than a placebo in the treatment of migraines and that acupuncture was at least as effective as conventional preventative drug treatment. Cochrane reviews are considered the gold-standard in evidence-based healthcare. 
The 2016 Cochrane review, Acupuncture for the prevention of tension-type headache, concluded that acupuncture is effective for treating episodic or chronic tension-type headaches. The "proportion of participants experiencing at least 50% reduction of headache frequency was much higher in groups receiving acupuncture than in control groups".