Holy cats! No, no, no, a thousand times no! Good grief...I can't believe they're even testing it for migraine...the risk to benefit ratio must be absurd. Here's the FDA link that includes the safety info...if you're looking at a clinical trial, this was probably in the informed consent.
http://www.fda.gov/cder/drug/infopage/thalidomide/default.htm
Even if the risk of birth defects is not an issue, there's the possibility of permanent nerve damage, blood clots (folks with migraine already have increased stroke risk), seizures, etc. Wow...who's bright idea was it to test thalidomide for migraine

They use it for leprosy and multiple myeloma, but unless this is severely, debilitating, cut off your head migraines that don't respond to anything other than decapitation, I can't imagine.