Say you have a document with a main body and several appendices with supporting information in different sections. You want to make references in the main body to the appendices, including the name of the section and the page number. Like so:

The problem: what if you change the name of the appendix section? Or the page number of the reference changes as the document is edited?
Some people wait until they finish writing the document to finalize the references, and then do it by hand. (And then need to update it by hand again after minor revisions cause page breaks to reflow….) But there is a better way!
Use Word’s Insert Cross-Reference feature along with Heading styles and Word will handle it all for you automagically.
Here’s how inserting those links works:

It’s as easy as that! And now, all you need to do when editing is select all (ctrl-a), then update all (F9) and all your references will be updated instantly.
I hope this saves you a ton of time and annoyance.