I've noticed that this post comes up #1 in Google searches for "cluster headache hong kong" so I'll dump all the Hong Kong info I have here in case another unfortunate soul finds themselves in the same situation I was and comes to this thread.
Oxygen:Celki Medical - Multimedia File Viewing and Clickable Links are available for Registered Members only!! You need to

or

Ph 2332 3366
- Can supply 93% oxygen. Their largest tank is E size (600 litres).
- Next working day delivery (make sure you have bookings for Fridays and Mondays!)
- They ask for a doctor's letter, but they didn't bother to check it when I placed an order.
- Cost is $90 per month rental per E tank, $120 per month rental for a 15 lpm valve, $160 per fill and an $800 refundable deposit.
- They don't supply non-rebreathing masks but a nasal canula is supplied for free. For CH, you can shove into your mouth and breath out of your nose, or use it to MacGyver your own non-rebreathing apparatus. (Or just use the canula normally - it
might work.)
- 93% purity and small tank size isn't ideal, but it's adequate for me. I'm still looking for other suppliers.
Non-rebreathing masks:Matilda International Hospital - Multimedia File Viewing and Clickable Links are available for Registered Members only!! You need to

or

Ph 2849 0111
- Cost $28 each
- Product details: Ref 3679, OM-3 Hi-Oxygen Mask Adult
- This is the only retail supplier I could find and it's quite a difficult place to get to.
Triptan Tablets:Many independent pharmacists stock Sumatriptan or Zolmitriptan tablets and will sell them over the counter without a prescription. My current pharmacist sells me generic Sumatriptan made by Apotex in Canada at $200 for 6 tablets. Don't bother with the large chain pharmacists like Watsons or Mannings.
Triptan injections:Good luck with that! I've offered a small fortune to many doctors and pharmacists and none could obtain it for me.
Verapamil:The majority of independent pharmacists stock Isoptin SR (240 mg, prolonged release). Price is about $250 for 30 tablets.
Doctors:Unfortunately, there's not one doctor here that I would recommend. The closest doctor I've found that could help me better than I could help myself was Dr Alvin Seah at Raffles Hospital in Singapore, a 3.5 hour flight away!
Hospitals:I wouldn't bother. I went to Eastern Hospital during a vicious attack and they did not treat my case as an emergency. Nor would they supply a letter that would instruct the triage to supply emergency oxygen for future visits. I nearly OD'd on Imitrex injections that day.
Since all ambulances should have oxygen tanks, I might consider calling one next time I'm out of oxygen, used up my sumatriptan quota and don't give a damn about the cost. Moral of the story: Ensure you're stocked up on Oxygen! I keep three E-tanks at home and I pre-book refills every Friday and Monday even if my tanks are full at the time (the refill can be cancelled in the morning of the delivery if it's not needed).
(All prices are as of 13th November 2012 and are in Hong Kong Dollars. The exchange rate is around 1 USD = 7.8 HKD.)