If you press R1, you can "lock on" to a target, the target turns green. If you hold it, the target will turn from green to red, PRESS FIRE! This is heat seaking! The missile will destroy the target without you having to literally aim.
Also, if you fly over the military base, and you get those rockets after you, look behind you, and when you see the missile, press O (circle) and the plane will fire missiles back and destroy the targets following you.
This is awesome.