Section headings allow for linkage directly to a specific part of an article.
For example, if you want to link to the episode "The Cave of Skulls", you can link directly to that section at An Unearthly Child. Just type:
[[An Unearthly Child (TV story)#The Cave of Skulls (2)]] This is not the same as:
[[An Unearthly Child (TV story)#The cave of skulls (1)]]. However, both will produce blue-links, and therefore appear to be valid links.
It's vital to capitalise the subhead precisely as it is in the article.
Additionally, the article in question should be the root article name. In other words, linking to sections through a redirect is a bit dangerous, because the base page might be move, creating a link to a double redirect, which will fail.