From a technical writing standpoint especially, I agree with the other presented answers: if you use headings in one place you should continue their use throughout. How you go about this, I think at least, depends on what you're writing and the format you are pursuing.
Check out: Purdue Owl's MLA Overview
I've captured some of the interesting bits from that page here:
Why Use MLA?
Using MLA Style properly makes it easier for readers to navigate and >comprehend a text by providing familiar cues when referring to sources and >borrowed information. Editors and instructors also encourage everyone to use >the same format so there is consistency of style within a given field. Abiding >by MLA's standards as a writer will allow you to:
•Provide your readers with cues they can use to follow your ideas more >efficiently and to locate information of interest to them
•Allow readers to focus more on your ideas by not distracting them with >unfamiliar or complicated formatting
•Establish your credibility or ethos in the field by demonstrating an >awareness of your audience and their needs as fellow researchers (particularly >concerning the citing of references)
Who Should Use MLA?
MLA Style is typically reserved for writers and students preparing manuscripts >in various humanities disciplines such as:
•English Studies - Language and Literature
•Foreign Language and Literatures
Check out: Purdue Owl's APA Overview
And those same interesting bits that you might find helpful:
Why Use APA?
Aside from simplifying the work of editors by having everyone use the same >format for a given publication, using APA Style makes it easier for readers to >understand a text by providing a familiar structure they can follow. Abiding by >APA's standards as a writer will allow you to:
•Provide readers with cues they can use to follow your ideas more efficiently >and to locate information of interest to them
•Allow readers to focus more on your ideas by not distracting them with >unfamiliar formatting
•Establish your credibility or ethos in the field by demonstrating an awareness >of your audience and their needs as fellow researchers
Who Should Use APA?
APA Style describes rules for the preparation of manuscripts for writers and >students in:
•Social Sciences, such as Psychology, Linguistics, Sociology, Economics, and >Criminology
Since I don't know the nature of what you're writing, what if you aren't going for a technical piece? What if you're writing an essay about your love for toasters and it's a very personal piece for you? Headings don't have to be drab and boring. They can be relevant, fun and fuzz the lines of the "Intro, Main Point 1, Main Point 2, Main Point 3, Conclusion" format. Yes, using that format is the norm and yes if you use part of that format continuing with it helps readers significantly (remember human brains like patterns, parallels and being able to fill in the blanks with context clues). However, your headings don't have to spell out "Okay guys this is my introduction, this is my argument part and this is my conclusion" that can get boring and bland.
So let's go back to toasters (I don't know why I picked it as an example, but I did and I'm rolling with it). You could format the essay with headings like these and be creative:
I love toasters.
You know, a nice unlabeled intro like Monica Cellio discussed above.
Insert the Bread; push the lever
Main point one
Popping it's Way to my Heart
So, main point 2 with a unique heading. (Here the headings are the steps to using a toaster)
Skipping Main Point 3 as I'm not questioning your creativity, just trying to give a lame example of creative heading format.
My Reflection in the Toaster
I look at the finished work. The toast sits on my plate, the toaster is primed for another slice. I smile as a toaster-sized reflection smiles back. This is why I love toasters. The culmination of...
(and then you conclude and recap etc...)
The point is, the heading for the conclusion doesn't always have to be "conclusion." In some cases, that's helpful, preferred by a professor, and so on, but writing allows for freedom and you can use headings to convey that freedom.
Here are some sample essays with unique heading/section formats:
(NOTE: I proofed for format, not topics, so if anything is radical, profane, etc... I apologize).
Roman Numerals as Section Separators
Use of Large Capital Letters and Unique Formatting
As previously stated, the option to not use any headers also exits.
Also, if you're writing for a certain publication, a certain professor, a certain job, etc... someone probably has an idea of the format they are looking for-it helps to appeal to that as well.
Just my thoughts in a lengthy post that talks far too much about toasters :)