I have a game I am working on that has homing missiles in it. At the moment they just turn towards their target, which produces a rather dumb looking result, with all the missil
I've used this CodeProject article before - it has some really nice animations to explain the math.
"The Mathematics of Targeting and Simulating a Missile: From Calculus to the Quartic Formula": http://www.codeproject.com/KB/recipes/Missile_Guidance_System.aspx
(also, hidden in the comments at the bottom of that article is a reference to some C++ code that accomplishes the same task from the Unreal wiki)