Always use heading tags for headings. The clue is in the name :)
If you don’t want them to be bold, change their style with CSS. For example:
<h3 class="list-heading">heading</h3>
<ul>
<li>list item </li>
<li>list item </li>
<li>list item </li>
</ul>
.list-heading {
font-weight: normal;
}
In HTML5, you can associate the heading and the list more clearly by using the <section> element. (<section> doesn’t work properly in IE 8 and earlier without some JavaScript though.)
<section>
<h1>heading</h1>
<ul>
<li>list item </li>
<li>list item </li>
<li>list item </li>
</ul>
</section>
You could do something similar in HTML 4:
<div class="list-with-heading">
<h3>Heading</h3>
<ul>
<li>list item </li>
<li>list item </li>
<li>list item </li>
</ul>
</div>
Then style thus:
.list-with-heading h3 {
font-weight: normal;
}