A heterostructure is ju a "sandwich" of layers with different properties, they differ either because you use different materials (e.g. Al-Oxide-Al as in the case of a tunnel junction) or because of different doping. GaAs/AlGaAs (aluminium-GalliumArsenide) structures are a good example of the latter; the percentage of aluminium each layer of AlGaAs determines the potential profile.
AlGaAs can be used to create a quantum well by creating structures where one layer of AlGaAs has a lower potential than the surrounding layers, this creates a "well" for the electrons.
AlGaAs structures are quite neat, you can understand many of their properties just by solving the time-independent 1D Schroedinger equation using the potential profile as set by the Al content, for simple structures you can do it by hand. It is one very nice "real world" application of first year quantum mechanics.