Header tags (h1 etc) have a larger 'line-height' than you would expect from a <p> so you will get space above and below the actual x height of the text.
Setting the line-height to 0em will 'solve' this
but will stack the text if the line breaks
Example
Code:
<h1 style="line-height:0em;">Derp</h1>
<p>Herp</p>