Migraine is a highly prevalent primary headache. The disability of migraine attacks results in considerable economic and social losses. The acute treatment of migraine aims to rapidly and consistently alleviate the head pain and associated symptoms, therefore reducing the headache-related disability, ideally without side effects and recurrence of the attack within 24 h. Although several drug options and different formulations are available, the choice of a specific medication should depend on an individual patient’s characteristics. Among the available drugs, nonsteroidal anti-inflammatory drugs still represent effective options and a new class of nonsteroidal anti-inflammatory drugs known as selective cyclooxygenase-2 inhibitors may represent an even better-tolerated therapy with regard to gastrointestinal side effects. This article aims to discuss the role of rofecoxib in the acute treatment of migraine. Although this drug was recently withdrawn from the market, it provides a good model to understand the role of the cyclooxygenase-2 inhibitors in migraine therapy overall. The pharmacologic profile and therapeutic use in the acute treatment of migraine of rofecoxib is reviewed. In addition, the limitations of a monotherapeutic orally administered approach and possible ways of raising the efficacy of rofecoxib and other acute migraine treatments are reviewed.