There are two common types of migraine headaches. One has an aura associated, the other does not. The aura is often described as zig zag lines or spots in the vision prior to the pain of the headache beginning. Other warning signs include thirst, cravings, feeling tired or depression leading up to the migraine.
Migraines are vascular headaches. The aura occurs during the vasoconstriction phase (where the blood vessels become smaller so less blood can flow through). After this phase the blood vessels dilate. This increases the blood flow to the tissues and causes the strong throbbing headache.