My first thought is that when a woman gets pregnant she actually gives her pre-existing migraines to her husband believing that if he is willing to track into the night for pickles and ice cream he must be willing to do anything!
Actually, the physiology of pregnancy is one of the most interresting (and confusing) subjects I have studied. There is no concensus on Migraines and pregnancy. Many woman experience migraines for the first time during pregnancy (15% of all woman with migraines have their first one when they are pregnant), and for others this is the only time when they are symptom free.
We know that migraine headaches are effected by hormone changes (get stressed out = get migraine). Migraines are thought to be caused when a blood vessel in or around the brain constricts or dilates. Estrogen and progesterone both have rolls in this process and so when you are pregnant and your hormones go crazy you may just get lucky and find a hormone balance that you head really enjoys.
If you are still having migraines you can always just have more kids and keep your fingers crossed!