It’s not really news that a lot of migraineurs suffer from "sensitive skin" – otherwise known as cutaneous allodynia. I deal with allodynia myself.
The news is just how widespread the problem is. A massive study of 16,573 people showed us some interesting facts about cutaneous allodynia (CA). In short, 2/3 of people with migraine may deal with the problem. Actually, even over a third of those with chronic daily headache and tension type headache have had CA. But it was much much more common in those with migraine.
Those with frequent attacks of migraine were more likely to have sensitive skin, and women were also more often sufferers.
Allodynia most often occurs on the scalp or arms of the migraineur. Putting on jewelry, brushing your hair, or even standing near a hot stove can be a painful experience. Even feeling the sleeves of your shirt brush on your arms can be painful. This effect may have something to do with the hypersensitivity in the brain of someone having a migraine attack.
Usually this symptom starts after the headache portion of the migraine is well underway (if there is a headache). Many doctors recommend that taking an abortive (such as a triptan) before this stage is very important – otherwise the treatment will be less successful.
You can read more about allodynia here, and an overview of the study Prevalence and characteristics of allodynia in headache sufferers.