From today's German Ärztezeitung (Physicians' newspaper):
Researchers on a current pain conference in Bremen discovered that smoking cessation is in some cases just as helpful as pain medication for sufferers of headaches and migraines.
That finding makes a lot of sense, as smoking does make the blood vessels constrict and lowers oxygen levels in the blood.

Now, that doesn't mean that you should start smoking so you can cease, but it is another good reason to stop tarring your lungs.
After all, you'd be saving on two fronts: No more money for cigarettes, and less for pain meds.