Does anyone else know what I'm talking about?

It's like a weird cold-hot sort of tingly feeling. Sometimes even only on one side or when I'm lying down to sleep. A bit like someone pouring cold water or using one of those electric shock games on my scalp/brain. 

I get migraines and recently finished a course of anti-anxiety medications so to try and not panic I keep telling myself it's just something to do with that.