I can't believe we haven't included Heading Tags H1, H2, H3, etc. in our daily SEO tips yet! I'll make sure to rectify that right now.
Heading tags are one of the most important things you can do to tell search engines what a web page is about. Putting text inside an H1 tag (the most important of heading tags) is almost as important/effective for SEO as including that text and keywords in the title tag or URL. So, ensure that your keywords are included within the H1 tag of the page. You can always use CSS to over-ride any styling that the H1 tag imposes on your page, so don't let that stop you.
Also, note that including keywords inside an H1 tag is much more relevant/important than within an H2 tag (which is more important than an H3 tag, and so on...)
Thus, include your primary keywords in the H1 tag and any secondary keywords within "lower-level" heading tags.
As with everything - make sure you're not using heading tags to stuff keywords, especially ones that are nonsensical for a user. Simply think about how to best craft the content within an H1 tag so that it has SEO in mind.
Finally, if you have pages that have headings but don't use any heading tags -- change that! Make sure that your headings (h1) and sub-headings (h2) are properly denoted using the correct HTML tags and this best practice of web design will also benefit your search rankings.