As it's name suggests, you can get a headshot by shooting your enemies in the head. By doing so, you earn XP x2. The easiest way to get a headshot is to shoot with the scope on, are use a Nanotech sniper with Auto aim. Some Achievments require headshots, such as Marksman, Deadeye, Sharpshooter, Running red, and other Achievments.
If you shoot the boss without the scope on and manage to give the boss a headshot, the screen will automatically zoom in and show you a slow motion of the boss falling.
The easiest headshot getting guns are of course Sniper rifles, but sometimes, with sheer luck, Shotguns can blow some brains out, too.