Headings are really important for SEO and for readability on a web page.
Breaking the page up with headings helps readability by giving quick context and clues to the content of the page and also by anchoring the eyes on the section being read. Headings are also one of the best places to include keywords.
In HTML, headings are placed before paragraphs and are organised into levels of main headings and subheadings.
<h1> is the main heading generally used for the page title (on this page that's the 'The Basics of Optimising Pages For The Web' heading at the top of the page).
<h2> is the first level of subheading (on this page we've used h2 for the headings 'Meta Description', 'Headings').
<h3> can be used to head paragraphs underneath the h2 level (in this section we've used h3 for 'Headings HTML' and 'Headings with a WYSIWYG Editor).
<h4>, <h5> and <h6> headings can be used for further levels of subheadings on long pages of text.
Headings with a WYSIWYG Editor
If you have a WYSIWYG (what you see is what you get) editor for your website content, which is similar to the formatting controls in Microsoft Word, there is probably a dropdown box to select the type of text formatting that looks something like this: