To me, Heat is essentially two scenes. One comes in the middle, the other at the end. Together, they represent what the movie is about.
The big one is the conversation between Neil McCauley (Robert De Niro) the thief and Joseph Hanna (Al Pacino) the cop over coffee at a diner. This is one of the significant moments in the history of cinema, simply because it is the only scene in which you see these two great Italian-American actors talking to each other. Simple as its cops-and-robbers plot is, this scene encapsulates all that is good about the movie.
Hanna has been tailing the thief for a while now. McCauley knows this. And Hanna knows that McCauley knows. In an earlier scene, Hanna and his colleagues are standing in a warehouse where McCauley and his colleagues were standing sometime ago and discussing something. They see no clues as to what was going on, and suddenly the cop gets it. He says, "You know what they're looking at? Us. We just got made." And sure enough, McCauley is seeing them through a telescopic lens from a distance.
One night, Hanna just flashes his lights and asks McCauley to pull over. Walks up to him and says, "What do you say I buy you a cup of coffee."
Over coffee, they discuss the nature of their jobs. Two professionals who need each other. McCauley would, in a purely practical sense (as Arundhati Roy would put it), prefer not to have a cop on his trail. And Hanna would, in a purely practical sense, prefer not to have a crime to solve/prevent. But in reality, what would these two men be without each other? It's yet another sigma field.
"All I am is what I'm going after," says Hanna at one point. McCauley is a lot less obvious about his need. He says, in fact, that he doesn't get attached to anything he can't walk out on in 30 seconds if the shit hits the fan.
And yet, in the closing moments of the movie, when McCauley lays there dying (Hanna has just chased him down and shot him), he puts out his hand, and Hanna comes over and holds it until McCauley dies.
Sometimes, as Charles Bukowski says, you have to kill a whole bunch of people before you realize that life is piss, the sparrow is eternal and that you've been wasting your time.