Check out these brief articles from Polar for some easy-to-understand explanations of how things work during your workout. They should also be helpful if you've been considering buying a heart rate monitor, to understand why they're so important to have.

Benefits of Heart Rate Monitoring
Different Training Heart Rates are Used for Different Purposes
About Exercise Zones (intensity)
Calorie Burning (includes explanation of fat vs carbohydrate burning at different intensities)
Indoor Cycling (discusses aerobic vs anaerobic training)