I have a function $H$ with canonical coordinates $(q,p)$ on the cotangent bundle $T^*Q \cong S^1 \times \mathbb{R}$. The function $H$ has 4 critical points and has regular values where ever it is not zero. Call the set of regular values $U \subset \mathbb{R}$.
How do I tell how many connected components this set has?
The set of regular values is connected, i.e. it has one component.
All you need to prove this are two facts and one theorem:
This is true because $S^1 \times \mathbb R$ is a connected 2-manifold, and the complement of a finite set in any $n$-manifold (with $n \ge 2$) is connected.
The theorem you need is:
That is a theorem of topology, and it doesn't care how many dimensions the domain and range have, all that matters is that the domain is a connected topological space.
Since the set of regular values is the $H$ image of $C$, they form a connected set.