I'm in the "it's worked for thousands of years and that's enough evidence for me" camp.
I myself have had good success with alleviating very bad hormonal headaches via acupuncture.
I also was lucky to have an acupuncturist who was open to the fact that it might not work. When I initially saw her, I was a mess of constipation, allergies, built up stress, headaches, etc. She tried a few treatments and said "your body is blocking this." She sent me for lymph drainage therapy, which was brutal, but it worked to clear out my system. After that, I was able to go get acupunture for my headaches and it worked really, really well.