Heat conduction through molecular chains connecting two reservoirs at different temperatures can be asymmetric for forward and reversed temperature biases. Based on analytically solvable models and on numerical simulations we show that molecules rectify heat when two conditions are satisfied simultaneously: the interactions governing the heat conduction are nonlinear, and the junction has some structural asymmetry. We consider several simplified models where a two-level system (TLS) simulates a highly anharmonic vibrational mode, and asymmetry is introduced either through different coupling of the molecule to the contacts, or by considering internal molecular asymmetry. In the first case, we present analytical results for the asymmetric heat current flowing through a single anharmonic mode using different forms for the TLS-reservoirs coupling. We also demonstrate numerically, studying a realistic molecular model, that a uniform anharmonic molecular chain connecting asymmetrically two thermal reservoirs rectifies heat. This effect is stronger for longer chains, where nonlinear interactions dominate the transfer process. When asymmetry is related to the internal level structure of the molecule, numerical simulations reveal a nontrivial rectification behavior. We could still explain this behavior in terms of an effective system-bath coupling. Our study suggests that heat rectification is a fundamental characteristic of asymmetric nonlinear thermal conductors. This phenomenon is important for heat control in nanodevices and for understanding of energy flow in biomolecules.