recently carried out a rather shifty experiment with migraine sufferers. Following protocol, they gave a third of their patients no treatment at all, a third a new anti-migraine drug called Maxalt, and the other third placebos. But they went further by marking the pills Placebo, Maxalt, or Placebo or Maxalt. As you can see, a placebo pill labeled Maxalt did more to reduce reported pain than a placebo pill labeled Placebo, even though the patients were told to disregard the labels. How we experience pain, especially pain in the head, is connected to all sorts of things about our moods and expectations, and the small excitement of believing that you are trying an experimental headache medicine has a measurable effect on how bad you feel.
Note that even a placebo pill labeled Placebo had a significant effect on reported pain level, compared to the patients who received no treatment at all. But maybe the patients who got no treatment were really just pissed that they volunteered for this study and drove all the way to the clinic and then got nothing.