Headings are important for search engines because they use your headings to index the structure and content of your web pages. Headings are defined with the <h1> to <h6> tags.
<h1> headings should be used as main headings, followed by <h2> headings, then the less important <h3> headings, and so on.
HTML Example
<h1>This is a heading</h1>
<h2>This is a heading</h2>
<h3>This is a heading</h3>
More than one H1 on a page: good or bad?
Matt Cutts on YouTube, 5 mrt 2009
Does the ordering of heading tags matter?
Matt Cutts on YouTube, 8 mrt 2009