Important! Different Trains Visit Different Terminals.
Since the opening of Terminal 5 on 27th March 2008, a rather complicated routing of Underground trains at Heathrow applies.
Crudely, there are two different routes that Underground trains take, if you are travelling to Terminal 4 or Terminal 5 make sure you board the right train!.
Trains normally alternate between the different routes, if yours is not the first train, the next Heathrow train will be.

* Route 1 (Terminal 4) - Incoming trains from London will branch off after Hatton Cross station to Terminal 4. After Terminal 4 the train loops around to Central (Terminals 1,2,3) before going back to London. These trains do not go to Terminal 5 and do not travel the other way from Central to Terminal 4.
* Route 2 (Terminal 5) - Incoming trains from London will go straight to Central (Terminals 1,2,3) before going onto Terminal 5 where the train terminates. After a short while the train will return to London the same way. These trains do not visit Terminal 4.