I don't know anyone personally who got a migraine from their epidural (and my mom was prone to migraine headaches prior to getting the epidural).
I was prone to migraines before my pg and got them during, but did not have one while I had the epi. It just made me sleepy. My anesth. was really good and it didn't hurt at all.
My epidural didn't hurt at all. My IV hurt more. I was prone to migraines pre-pregnancy, but didn't have any related to the epi. Just remember, everyone reacts to everything differently.
The migrain thing you've heard about it actually something that can occur because the epidural was inserted wrong - it has nothing to do with being prone to migrains or having a history of them. There is a medical term for it and I'm probably not getting the techinical side down right but it has something to do with air getting in the spinal cord (I believe) - you are not in any pain until you try to sit up, if you stay laying flat, you are fine. This is very rare though and nothing to worry about really.
I didn't have an epidural with my first and don't plan to have one this time either but I woudl probably agree with the pp - it probably doesn't hurt worse than the contractions!