HTTP headers are meta information about an HTTP response; they define a lot of information about the data that you are sending and receiving. For example, with the Cache-Control HTTP response header, you can determine whether your data will be cached on the user's browser, and the Date HTTP request header gets a timestamp of the request.
This information is contained in the documents that you request, but is not shown explicitly in the HTML document's source code. But you can easily attain and set HTTP request and response headers by using JavaScript.
Note
For a full list of HTTP headers, please view the Wikipedia page entitled List of HTTP headers via the following HTTP address: http://en.wikipedia.org/wiki/List_of_HTTP_headers.