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What makes heading hold gyros special?

What a Standard Gyro Does

Before heading hold, the gyro's output would simply be the rudder input (from the receiver) minus the sensor input (from an actuall mechanical gyro or from piezoelectric sensor). It would just act as a damper, slowing down any yaw movements, whether they were induced by the pilot or by the wind or by an imbalance between the mainshaft torque and tail rotor thrust. They work great if the wind is calm and if you have your throttle->tail rotor mixing (aka 'revo mixing') dialed in just right. They work pretty well if you're in forward flight, because the heli will tend to 'weathervane' to a nose-first orientation in spite of all the other stuff. Backward and sideways flight is still a real challenge, though.

What a Heading Hold Gyro Does

With heading hold, the gyro actually keeps track of how much yaw the pilot has asked for, and how much the helicopter has actually yawed, and the gyro's output basically corresponds to the difference between these two things. The result is that the gyro basically trims the rudder to resist yaw movements and return to the heading that you command. It makes rudder mixing unnecessary - what's more, rudder mixing will actually cause problems, because the gyro will just treat the rudder trim as a command to yaw.

What This Means To The Pilot

HH will hold straight through wind, sidways flight, backward, just about anything. When you get into backward, sideways, or pirouetting stuff, it's like night and day. When you're learning to hover, it means you don't need to tinker with rudder mixing, and (I learned without HH so I'm guessing here...) it probably means you have to work only three controls simultaneously, not four, since the gyro pretty much takes cane of the rudder for you.

The main thing that makes standard gyros preferable in certain situations is the fact that they will weathervane in forward flight. This basically means you can worry a little bit less about the rudder. It's pretty minor though in my opinion - you still need to work the rudder, even without heading hold, so it's not like night and day. Personally I never turn off HH anymore. It's been a long time since I flew without it.

You can learn to fly without HH though, and anyone who started more than 3-4 years ago probably did (myself included). It's not really crucial until you get into fast backward and sideways flight - and heck, some people did that without HH a few years ago... just not very many of them.

Before You Buy...

These days, you can get a gyro that will do heading hold for only a tiny bit more money than a gyro that doesn't do heading hold. If the gyro doesn't do heading hold, you will almost certainly outgrow it. If the gyro does do heading hold, you will probably not outgrow it (that doesn't mean you'll never want something better, of course!). In my opinion there's almost no reason to buy a non-HH gyro anymore.