There are different types of injections that can be made to improve neck-influenced headache (cervicogenic headache). The link between neck pain and headaches can be complex. See this post The injections can be made with local anesthetics (similar to the freezing product used by dentists), lidocaine and bupivacaine are common options).
Simple nerve blocks
These procedures can be done in an office by any trained physician.
The product is usually lidocaine (or similar anesthetic). For occipital blocks, some physicians add injectable steroids (depo-medrol). For nerves of the face, steroids are not used.
- Greater Occipital Nerve Block: the injection is near the basis of the occiput, close to the midline.
- Lesser occipital nerve block: the injection is close to the occiput, near the mastoid (the bony part behind the ear).
- Supra-orbital nerve block and trochlear nerve block target the nerves innervating the forehead.
- Auriculo-temporal block: injection is done between the ear and the cheekbone.
X-ray guided blocks and radiofrequency ablations
These procedures are usually performed by radiologists or physiatrists, often in specialized clinics
The product is injected near the facet (where two bony surfaces overlap). Cortisone is used to decrease the inflammation  of the joint.
Median Branch blocks:
The target is a tiny nerve that conveys the sensations (and therefore pain) from the facet. Lidocaine can be injected.
Radiofrequency ablations or rhizotomy:
This is not a «block». No substance is injected. The physician will use an electric probe to «grill» the nerve root that may cause the joint pain. The effect of RFAs can last for many months. They can be repeated.
Other types of injections performed by physicians or physiotherapists
Trigger point injections (or TPI) are usually used to relax tense muscles. The product injected can be saline or lidocaine. The target are «taut bands» that can be palpated by expert clinicians.
Dry needling also targets tense muscles, but no product is injected. The needle itself is moved to bring the muscle to release. These injections can be quite painful.
A few comments on blocks
- Every procedure may trigger a placebo response. An improvement after an injection does not confirm beyond a doubt that the source of the pain is the injected site, but it may suggest it.
- Every procedure carries a risk of bleeding, infection, and injury to the nearby structures. Discuss this with your physician before giving consent. Blocks have less side effects  on the body and brain than oral medications.
- Procedures require expertise. Results may vary from a provider to the other and depends on the technique. Trying a different provider sometimes leads to different results.
- The evidence supporting the use of blocks for headaches is not very strong. Studies are not easy to complete, and comparison to placebo is a challenge. Nevertheless, many headache experts do use blocks on a «try and see» basis, as positive results have been observed.
- Occipital blocks with steroids are proven effective for cluster headache and should be offered for this disease. See this post 
- The safe maximum dose of injectable cortisone per year for a person is not known with precision. Many providers recommend a limit of four procedures per year. Certain people with pain in multiple locations can quickly exceed this limit.
Blocks and injections can be part of your headache management plan. They should be provided by a trained and experienced clinician.
Blumenfeld A, et al. Expert consensus recommendations for the performance of peripheral nerve blocks for headaches–a narrative review. Headache. 2013;53(3):437-46.
Leroux E, Ducros A. Occipital injections for trigemino-autonomic cephalalgias: evidence and uncertainties. Curr Pain Headache Rep. 2013;17(4):325.