Can someone explain the difference to me? I currently have a Blade that I'm learning with and getting the tail to stay put can be a chore. Would a heading-hold gyro help with this? I'm also building a T-Rex eCCPM that I need to buy a gyro for and want an understanding of the differences between the two types so I can make the best choice (for me). Thanks for the help!

Have a look at this thread, I explained the (major) differences between rate and heading hold. They may not be totally correct, but I think the general theory is there.
http://www.rcuniverse.com/forum/m_3548636/tm.htm

Thanks credence. So a heading-hold gyro would be benificial on my blade with its wandering tail, correct? I understand I can't just add it to the 4-n-1, just weighing options as I may get the 2-n-1 and add my own receiver and gyro so I can use my 9C. In the meantime, if I adjust the gain on the stock gyro it may ease the wandering a bit, correct?

Yes, increasing gain will solve wandering usually. If you put to much gain, the tail will begin to wander back and forth (also known as hunting) as the gyro begins to over-compenstate it's own movements and the tail begins to wag.

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Thanks credence. I'd do some adjusting but I just chewed up a set of blades trying to hover in the garage here at work. Damn, I just put them on last night, too! I need to get this outside where I have some room. Oh well, back to the hobby shop!