Melatonin does not seem to be effective for the prevention of migraine headaches, according to a study published in Neurology. The researchers from Norway gave 2 mg of extended release melatonin every night for 8 weeks to 46 migraine sufferers. All 46 received also received 8 weeks of placebo and neither the doctors nor the patients knew whether the first treatment was with melatonin or placebo (so called double-blind crossover trial). Migraine frequency did improve from an average of 4.2 a month to 2.8, but the same results were observed while on melatonin as on placebo. This study confirms a well established observation that taking a placebo helps, or perhaps that what helps is just keeping track of your headaches and seeing a medical provider on a regular basis.
One argument against the validity of the study is that the dose of melatonin might have been too low because one small trial of 10 mg of melatonin in cluster headache sufferers did show benefit. Another possibility is that the dose was too high. There is a study that suggests that taking 0.3 mg (or 300 mcg) helps insomnia, while 3 mg does not. Anecdotally, I find that for me and many of my patients 0.3 mg works better for insomnia and jet lag than 3 mg.