Mostly the same! 'Heading back' is more colloquial, but they are both informal (formally, we might say 'returning home'). One difference is 'heading back' refers to leaving a temporary place (restaurant, friend's house, etc.). It would usually be used to mean 'walking/driving back to one's house'. 'Going back' could mean leaving a temporary place, OR travelling further (from a trip). Ex. My mom is GOING BACK to Puerto Rico to visit her family.

thank you so much guys.. David, I didn't know I could say "Im heading home.. and so on". That's good to know :)

By the way, you'll also hear "I'm heading home" (no "back") or "I'm heading to work", etc., pretty often.

They're essentially the same. I'd probably tend to say "heading back" if I've gone somewhere with some people and I'm going back to the place where we started. Example: "I'm tired -- you can stay at the museum but I'm heading back to the hotel." But "going back" would be absolutely fine here too.

"heading back" is used more commonly in an informal setting! But mainly no great difference :)