I have experienced migraine, tension, and sinus headaches. I think this may run in the family since both my mother and brother are prone to these three as well.
To answer your question, I do treat the differing headaches in somewhat different manners. For a sinus headaches I make to sure take an allergy pill as well as Tylenol sinus or another sinus related pain medication.
For migraines I take Advil or Exedrine. Then I rest in a dark silent room because light ad noise often increase the pain of migraine headaches. I find cold compresses are often soothing for both migraine and sinus headaches as well.
As for tension headaches I only get these when I have been stressing for a considerable amount of time. So usually I take some Advil and rest, but then I try and hit the gym once it subsides because this is my best stress reliever.
Great question and I hope others respond so we can learn from each others remedies!