Proximity is how close together things are. Things that have a lot to do with each other should be pretty close together. Things that don't have much to do with each other shouldn't be so close together. Again, it's very simple, but this is another one of those things that people tend to screw up.
The reason people screw up Proximity is that they think white space is bad. You know, white space--all the areas in a document where there is no text or image. Here's a news bulletin, folks: white space is good! Give your readers some breathing room. Don't crowd things in. If everything is crowded together, you can't tell what goes with what.
Proximity is the nifty little organizer you get from Ikea or The Container Store to help you organize your room. When your room is nice and neat and organized, you're bound to have some white space. That means your floor is clear and you can get from your door to your bed and closet without tripping and spraining your neck. It also means that you can vacuum, which means you can get rid of some of that dust and stop sneezing all the time. It's the same with document design--white space is a good thing.
You want your headings to be nice and close to the body text under them, but not so close that you can't find the heading. You want a little more space between the body text and the next heading that comes under it. That makes white space, which makes breathing room.
So there you have it. Contrast, Repetition, Alignment, and Proximity. I really think these things should be intuitive, but hey, sometimes we forget. That's why we've got a CRAP-y acronym to help us remember.