I personally prefer trex over zomig.  Shots do not bother me and the trex is faster acting for me.  I have had hit and miss experience with zomig; sometimes it works, sometimes it doesn't.

Neurology. 2007 Aug 28;69(9):821-6. 
Zolmitriptan nasal spray in the acute treatment of cluster headache: a double-blind study.

Rapoport AM, Mathew NT, Silberstein SD, Dodick D, Tepper SJ, Sheftell FD, Bigal ME.

Department of Neurology, David Geffen School of Medicine at UCLA, Los Angeles, CA, USA. alanrapoport@gmail.com

OBJECTIVE: To evaluate the efficacy and tolerability of zolmitriptan 5 mg and 10 mg nasal spray (ZNS) vs placebo in the acute treatment of cluster headache. Design/ METHODS: We conducted a multicenter, double-blind, randomized, three-period crossover study using ZNS 5 mg, ZNS 10 mg, and placebo. Headache intensity was rated by a 5-point scale: none, mild, moderate, severe, or very severe. The primary efficacy measure was headache response (pain reduced from moderate, severe, or very severe at baseline, to mild or none) at 30 minutes. Logistic regression was used to account for treatment period effect as well as for cluster headache subtype effect. RESULTS: A total of 52 adult patients treated 151 attacks. For the primary endpoint, both doses reached significance at 30 minutes (placebo = 30%, ZNS 5 mg = 50%, ZNS 10 mg = 63.3%). For headache relief, ZNS 10 mg separated from placebo at 10 minutes (24.5% vs 10%). Zolmitriptan 5 mg separated from placebo at 20 minutes (38.5% vs 20%). For pain-free status, ZNS 10 mg was superior to placebo at 15 minutes (22.0% vs 6%). Both doses had higher pain-free rates than placebo at 30 minutes (placebo = 20%, ZNS 5 mg = 38.5%, ZNS 10 mg = 46.9%). Side effects were mild and seen in 16% of those attacks treated with placebo, 25% of attacks treated with ZNS 5 mg, and 32.7% treated with ZNS 10 mg. Conclusions/Relevance: Zolmitriptan nasal spray, at doses of 5 and 10 mg, is effective and tolerable for the acute treatment of cluster headache.

Publication Types:
Research Support, Non-U.S. Gov't

PMID: 17724283 [PubMed]

Imitrex always left me feeling weird for the next 24-48 hours after taking it. The Zomig doesn't have that problem so I've stuck to it for the past few years. It seems to be just a little bit slower acting though.