Delicious I don't believe that taking meds makes anyone a failure. Some forms of depression are caused by brain processes that meds can help just like diabetes can be helped by meds.

IMO you need to talk to your doctor about side effects and not just stop taking the meds. With antidepressants, often it takes six to eight weeks for them to work and if you interrupt the process you will never find out if you are on the right med. Many side effects appear instantly but only last a week or two. I get terrible, debilitating nausea whenever I start a new antidepressant but it starts to subside in a few days and disappears in a few weeks. A few weeks of discomfort is worth it for the hope of dealing with my depression which is also debilitating and is long lasting.

Some side effects may indicate immediately that this is the wrong medication for you. Migraines might be one of those but I don't know. Your doctor will know. He may advise you to give it a few more days with an expectation that they will subside. He may tell you to stop taking the medicine immediately and will start you on something different. He may tell you to taper off the medication slowly with a plan that he gives you. He will know the safest and best way to proceed. I do not believe that stopping medication on one's own is a good idea but I do think you should let the doctor know immediately about any serious symptoms like migraines.