In the past i always did put the heading above the list and it looks like most people do it that way:

Code:
<h2>List</h2>
<ul>
  <li>car</li>
  <li>cat</li>
  <li>dog</li>
</ul>
I thought about if
Code:
<ul>
  <h2>List</h2>
  <li>car</li>
  <li>cat</li>
  <li>dog</li>
</ul>
would be the right way.

And stumbled over the lh tag the first time.
Never saw it before in a book or article and wonder.
If there is this tag, why it is not much in use?

Code:
<ul>
  <lh><h2>List</h2></lh>
  <li>car</li>
  <li>cat</li>
  <li>dog</li>
</ul>
Sure you can wrap a section around the list in html5, but that is extra markup.