And it's not just a pain in the head. Migraines especially can come with other long-term health risks. A major study involving more than 100,000 women published in the BMJ in June found that those who reported having migraine headaches had a 50 per cent higher risk of having or dying from a heart attack, stroke or heart disease.
The researchers believe more work should now be done into whether migraine treatments can reduce these risks.
Yet while medications such as triptans can help reduce the severity of migraines, they don't work for all and there is, as yet, no "cure".
"One reason for the lack of work into this is that migraine headaches predominantly affect women," says Professor Andrew Charles, director of the Goldberg Migraine Program at the University of California, Los Angeles.
"So, until recently, it's been dismissed as a problem that is not serious when, actually, it can have an enormous impact on people's lives and is a serious public health problem."
But why are women more at risk of migraines and headaches in the first place? It's not just that women feel pain more - it turns out there are fundamental physical differences between the sexes that explain it. Here, we look at the various reasons scientists have now identified.
Women have more "excitable" brains
One reason women are more prone to migraine especially could be the way their brains behave.
Migraines are thought to begin with cortical spreading depression (CSD) - a flurry of abnormal cell activity that passes like a wave across the brain.
"Rather than following a blood vessel or a lobe of brain, a migraine starts as this wave of excitement that passes across the brain at a few millimetres a minute, and it's during this time that visual disturbances begin," says Dr Andrew Dowson, who leads the East Kent headache service.
The CSD can be prompted by many things -those who have migraines are sensitive to tiny changes, be that in their environment (for example, temperature) or routines (for some, sleeping in can trigger a migraine.)
However, the female brain seems to be especially sensitive.
Some research suggests that women's threshold for prompting a CSD is lower than men's. Studies on mice conducted by scientists at the University of California found that a male brain needed two or three times the stimulus to prompt a CSD than a female one.
"It hasn't been replicated with humans because the challenge is to catch them as they are about to have a migraine," says Professor Charles, who conducted the study.
"We were able to physically stimulate the brains of the mice (we did this by physically touching them) while they were under anaesthetic."
Jaw muscles tire more easily
An often-overlooked cause of headaches is the tendency to grind and clench teeth at night.
Obviously, men may grind their teeth, too, but they tend to develop worn teeth as a result, while women are more likely to develop pain in the muscles around the jaw and headaches, according to Kate Stokes, a Worcestershire dentist with a special interest in jaw problems.
This is thought to stem from differences between the muscles in male and female jaws. Women have more fast-acting white muscle fibres, which tire and ache more easily than the slow muscle fibres men have.
"The head pain caused by jaw problems can be felt in the temples, behind the eyes, in a band around the head and in the back of the neck," says Dr Stokes. Another tell-tale sign is waking up with a headache.
Treatments include a plastic device worn over the teeth at night to help reduce grinding. These are available from pharmacists and online.
That time of the month
Half of the women with migraine have so-called menstrual migraines, meaning their symptoms follow their menstrual cycle.
"Most of the differences between men and women's risk of headaches lies with the female hormones linked to the menstrual cycle,' says Anne MacGregor, a professor at the Centre for Neuroscience and Trauma at Barts.
"Migraine and headaches are most common for women in the three days before, and two days after, their period," she adds.
This phenomenon is due to a rapid drop in the female hormone oestrogen, which occurs in the days running up to a period (it causes the uterus to shed its lining, leading to a period) and the rise of prostaglandin, a fatty acid that prompts the womb to contract. It's thought these two factors lead to a reduction in levels of the brain chemical serotonin.
Low levels of serotonin are believed to make blood vessels in the brain suddenly contract then dilate, triggering a headache.
Serotonin also influences pain mechanisms, and low levels may mean pain is felt more keenly.
The fluctuations in hormones that occur in both the run-up to the menopause and afterwards can also make migraines and headaches more troublesome for many women.
This phase of disrupted hormones can last for up to 20 years, and continue well after periods cease, warns Professor MacGregor.
The significant drop from high to low levels of oestrogen, and more frequent menstruation that occurs during the perimenopause, means women who tend to have migraines or tension headaches may find they become more frequent. The Mirena coil, an inserted contraceptive device that releases progesterone into the lining of the womb, can help with menstrual headaches by reducing levels of prostaglandin.
For menopause-related headaches, hormone replacement therapy (HRT) may be of benefit, as it stabilises oestrogen levels, says Professor MacGregor.
Another option is isoflavones, a plant-based form of oestrogen. Professor MacGregor suggests taking 40 to 80mg a day.
Blame it on evolution
The tendency to have migraines can be inherited, and the migraine gene has more impact on women than men.
"The migraine genes are expressed more in women," says Dr Fayyaz Ahmed, a consultant neurologist at Hull Royal Infirmary.
That means women born with the gene are more likely to have migraines than men born with it.
"Anyone who has this gene has a threshold (at which a trigger will start a migraine) and, for women, that threshold tends to be lower."
Some experts believe that women's genetic tendency to headaches may have had an evolutionary benefit.
Migraine brains tend to over-react to changes - whether to routine or the environment.
"Those with migraines have more sensitivity to what is going on around them and there is a lot of speculation that migraine historically made women react more to any change in their surroundings," says Professor Charles. "This may have given them some sort of evolutionary advantage."
It may be that this alerted them to changes that enabled to keep them or their offspring safe.
They take too many pills
Women are up to four times more likely than men to develop headaches caused by the overuse of painkillers.
These develop with persistent use of over-the-counter or prescription pain-relief
medicine.
One theory is that regular use of painkillers suppresses pain sensors in the brain and the sensitivity of nerves there, so when there is a break in medication, a headache develops. It can lead to chronic daily headache, which is any type that lasts for more than four hours a day for 15 days or more a month.
While any painkillers can trigger medication overuse headaches, combined analgesics, such as Syndol and Solpadeine, which contain a mix of different painkillers, are most likely to cause problems, says Brendan Davies, a consultant neurologist who runs a headache clinic at the Royal Stoke University Hospital.
"If you are taking any painkillers for more than ten to 15 days a month for more than three months and seeing headache frequency increase, then the medication could be the problem," he says.
Why women are more at risk of these is, as yet, unclear, although it may stem from the fact that women are more likely to acknowledge a headache and use painkillers in the first place.
"I find from the patients I see that women seem to use more painkillers than men," adds Dr Davies. He recommends stopping all painkillers for six to eight weeks to see if headaches reduce.
Those who have been taking stronger, opiate-based painkillers such as tramadol or codeine for a long period of time may need to go into hospital when they stop the painkillers to help them cope with any withdrawal symptoms.\
Their brains look different
The shape of women's brains may work against them when it comes to headaches.
Researchers at the Boston Children's Hospital and Harvard Medical School conducted brain scans of 44 people, half of whom had migraines while the other half didn't.
They found that the women in the study who had migraines had thicker grey matter (the area that holds the brain cells, as opposed to the white matter that holds the cabling which carries the information between the cells) in both the posterior insula (associated with pain processing) and the precuneus - an area of the brain linked to migraines.
The male participants - both those who did not have migraines and those who did - did not have this thickening.
"This is one of several studies finding structural differences in the brains of those who have migraines," says Professor Charles.
"The challenge ahead is deciphering if the changes brought on the migraines or the migraines caused the changes."
Another new theory being investigated is whether or not women (as well as men who tend to have headaches) have different nerves in their neck, "because neck pain is a common factor in migraine", according to Professor Charles. "One hypothesis is that the sensitivity of the nerve plexus (nerve network) in the neck differs between individuals and that this makes them more prone to headaches.
"It is possible that there is some difference in the nerve plexus of women that makes them more prone to headache."
Women at risk if overweight
Carrying excess pounds increases the risk of headache for either sex - but the risk is greatest for overweight women.
One study of more than 3,700 women, published in 2011 in the journal Headache, found the risk of migraine increased as a woman's weight did, with severely obese women (defined as having a BMI of 40 or more) having an almost three times higher risk of migraine than a female of healthy weight.
Yet studies have not found such a big risk for men.
A review of studies published in The Journal of Headache and Pain in 2015 comparing the risk of migraine in the obese and those of normal weight found a 44 per cent increased risk for obese women, but no significant increase in risk for obese men.
There are various theories about why obesity should prompt migraines. "It could be that obese people exercise less, and exercise can reduce the incidence of migraines and headaches," says Professor MacGregor.
"It could also be that the part of the brain that is linked with migraine is also responsible for hunger."
Fat tissue is also known to release inflammatory chemicals that may affect blood vessels in the brain and so may trigger a headache that way.
Why obesity has more effect on women's headache risk than men's is not clear but, according to the studies, it is most apparent in the under-55s. After that age, obesity has less of an impact on women's headache risk.
Taking the contraceptive pill
Hormone-based contraception, including the Pill and certain coils, are a trigger for both tension-style headaches and migraines in up to 10 per cent of women.
Some women taking the Pill find that their tablet-free week triggers a migraine, possibly because this prompts a drop in oestrogen.
Professor MacGregor says taking the Pill without a break for at least three cycles, if not continuously, can help. It can be done constantly, but some women prefer not to do this as it means they don't have periods.
Copper coils can, in some cases, increase levels of prostaglandins, which can trigger migraines.
Dr Sarah Hardman, a sexual and reproductive healthcare specialist at Chalmers Sexual Health Centre in Edinburgh, recommends that women discuss their contraceptive choices with their doctor or nurse.
Women who suffer from migraine with aura - which can cause dizziness, a ringing in the ears and distorted vision - should not be on the Pill, says Dr Hardman.
Research has shown that women with this type of migraine have a higher (although still small) risk of suffering from a stroke using this form of contraception. It's thought that having migraine with aura may increase the risk of having a blood clot. Strokes are caused by blood clots that block the arteries to the brain.
The headaches more common in men
Cluster headaches - intensely painful episodes that tend to cause pain on one side of the head, a drooping eyelid and a blocked or running nose, affect six times more men than women.
The headaches typically last up to an hour, and occur on a daily basis during flare-ups that last up to three months.
Often, these clusters happen in the autumn and spring.
It's thought that they arise due to an irregularity in the hypothalamus in the brain - which releases hormones and chemicals - which triggers pain in the large trigeminal nerve.
Additional reporting: Lucy Elkins
