How to make an internal link to a heading in sphinx restructuredtext without creating arbitrary labels?

reStructuredText supports implicit hyperlink targets. From the reStructuredText quick reference:

Section titles, footnotes, and citations automatically generate hyperlink targets (the title text or footnote/citation label is used as the hyperlink name).

So the following text (lifted from the reStructuredText quick reference, spelling mistakes and all):

Titles are targets, too
=======================
Implict references, like `Titles are targets, too`_.

produces HTML similar to the following:

<strong><a name="title">Titles are targets, too</a></strong>

<p>Implict references, like <a href="#title">Titles are targets, too</a>.</p>

New, better answer for 2016!

The autosection extension lets you do this easily, with real cross references.

=============
Some Document
=============


Internal Headline
=================

then, later...

===============
Some Other Doc
===============


A link-  :ref:`Internal Headline`

This extension is built-in, so all you need is to edit conf.py

extensions = [
    .
    . other
    . extensions
    . already
    . listed
    .
    'sphinx.ext.autosectionlabel',
]

The only thing you have to be careful of is that now you can't duplicate internal headlines across the doc collection. (Worth it.)

A small addition to the answer by Chris:

If you want to link to headings without using the exact name of that heading for the link, you can do it like this:

Titles are targets, too
=======================

See `here <#titles-are-targets-too>`_

This will render as:

<h1 id="titles-are-targets-too">Titles are targets, too</h1>

<p>See <a href="#titles-are-targets-too">here</a></p>