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What is the difference and should I be using all of them?
They are different size headings. I don't often use H1 tags simply because the text just looks monster big on my websites. I most commonly use H2 tags and then sometimes H3 and H4.
Maybe someone else can give you more detailed information on the SEO difference between them, since I don't actually know this answer.
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Every H tag represents a title, sub-title or an ordered/unordered list or sub-list.
Oh, that's an amazing explanation Mike. Thank you very much!
So, like I said in other replies or topics of yours.. I'll have to bookmark this and save it for later. The thing is, that later, usually ends up being in the future, and I need to do things in the nearest future because otherwise my computer will die on me because of all the bookmarks I get!