Sometimes (usually when you have a bunch of paragraphs separated by <br/> tags instead of <p> tags, I think) when you try to change a block of text into a heading, it changes (practically) your entire page into a heading instead of just that paragraph (or what you thought was its own paragraph but technically wasn't).
This is one area where WYMEditor is better, IMHO -- because you can actually see the HTML structure (p tags, etc.).