Heading Hold is the same thing as Tail Lock. The other kind of gyro is a "rate" gyro. Most HH gyros can be set for rate mode. HH gyros are typically more expensive than rate.

Rate gyros always return to servo-center when the rudder stick is centered and the heli is stationary. They require trimming-in once you are in the air in order to get the yaw to be stable. A rate gyro will move the rudder servo for you while the heli is turning (yaw); it will always return to servo-center when the heli stops turning. A rate gyro can be used with revo mixing, but this is not usually necessary. Some people like to use rate gyros while doing forward flight because the rate gyro will allow the tail to fall-in behind the heli.

Heading Hold gyros try to remember the yaw position of the heli and make whatever corrections are necessary to resume that yaw heading. They do not require trimming in. In fact, you can't (shouldn't have to) use any rudder trim at all. With the sticks at center and the heli stationary, it's common for the tail servo to slowly advance to one side and stay there. When the heli moves in yaw, the HH gyro compensates and holds that compensation value until the yaw is back where it started. The servo does not return to center until the yaw returns to the 'memorized' postion. The rudder stick moves this 'memorized' position. These features border on technical magic and that is the reason why HH gyros are more expensive. HH gyros are exceptionally valuable to the beginner learning to hover. When in HH mode, the pilot will have to "fly the tail" when doing maneuvers in forward flight. This means that the pilot must manually move the tail behind the helicopter when flying forward; otherwise the tail would just stick out in whatever direction it was last pointing. [actually, that can be fun too.]

Many people have a switch set on their radio to switch between modes. You might want to use HH mode for hovering and landing, but use rate mode for forward flight. It's all good.

-Mark