URL/HTML escaping/encoding

I have always been confused with URL/HTML encoding/escaping. I am using PHP, so I want to clear some things up.

Can I say that I should always use

• urlencode: for individual query string parts

    $url = 'http://test.com?param1=' . urlencode('some data') . '&param2=' . urlencode('something else');
  

• htmlentities: for escaping special characters like <> so that if will be rendered properly by the browser

Would there be any other places I might use each function? I am not good at all these escaping stuff and am always confused by them.