Here's a possible solution; only information for sections with \todo notes will be written to the List of Todos:
\documentclass{scrartcl}
\usepackage{todonotes,xpatch,hyperref}
% initial definitions for storing the section info (name and number)
\def\thissectiontitle{}
\def\thissectionnumber{}
\newtoggle{noTodos}
\makeatletter
% redefinition of \@sect so \section glbally stores its name and number
\def\@sect#1#2#3#4#5#6[#7]#8{%
\ifnum #2>\c@secnumdepth
\let\@svsec\@empty
\else
\refstepcounter{#1}%
\protected@edef\@svsec{\@seccntformat{#1}\relax}%
\fi
\@tempskipa #5\relax
\ifdim \@tempskipa>\z@
\begingroup
#6{%
\@hangfrom{\hskip #3\relax\@svsec}%
\interlinepenalty \@M #8\@@par}%
\endgroup
\csname #1mark\endcsname{#7}%
\addcontentsline{toc}{#1}{%
\ifnum #2>\c@secnumdepth \else
\protect\numberline{\csname the#1\endcsname}%
\fi
#7}%
\else
\@xsect
\def\@svsechd{%
#6{\hskip #3\relax
\@svsec #8}%
\csname #1mark\endcsname{#7}%
\addcontentsline{toc}{#1}{%
\ifnum #2>\c@secnumdepth \else
\protect\numberline{\csname the#1\endcsname}%
\fi
#7}}%
\fi
\@xsect{#5}%
\ifnum#2=1\relax
\global\def\thissectiontitle{#8}
\global\def\thissectionnumber{\thesection}
\fi%
}
\pretocmd{\section}{\global\toggletrue{noTodos}}{}{}
% the \todo command does the job: the first time it is used after a \section command,
% it writes the information of the section to the list of todos
\AtBeginDocument{%
\xpretocmd{\todo}{%
\iftoggle{noTodos}{
\addtocontents{tdo}{\protect\contentsline {section}%
{\protect\numberline{\thissectionnumber}{\thissectiontitle}}{}{} }
\global\togglefalse{noTodos}
}{}
}{}{}%
}
\makeatother
\begin{document}
\listoftodos
\tableofcontents
\section{My first Section}\todo{Section 1 note}
\subsection{A first Subsection}
\subsubsection{A first subsubsection}\todo{Section 1, section 1, subsection note}
\subsection{Another subsection}\todo{Section 1, section 1, subsection note 2}
\section{My second Section}
\subsection{Another subsection}\todo{Section 2, subsection 1 note}
\subsection{Another subsection}\todo{Section 2, subsection 2 note}
\section{A section without notes}
\subsection{A subsection without notes}
\subsubsection{A subsubsection without notes}
\section{My fourth Section}
\subsection{Another subsection}\todo{Section 2, subsection 1 note}
\subsection{Another subsection}\todo{Section 2, subsection 2 note}
\end{document}

Remarks and explanations
This is basically an adaptation of my answer to Include chapters in List of Figures with titletoc?
The \todo command does the job and decide if the section info will be written to the List of Todos; whenever the \todo command is used in the document, it will examine a boolean flag; if the boolean is false, then it adds the section information to the List of Todos and sets the boolean to true; otherwise, it does not add any information.
The \section command was also modified to reset the boolean.
\@sect was modified to globally store the information about the corresponding title and number for the section; this information will then be used when writing to the List of Todos.
Version using titlesec
In the comments it has been mentioned that the titlesec package is being used (which might produce undesired results with KOMA classes; see Incompatibilities between KOMA-Script and titlesec). In this case, using the explicit option the code simplifies considerable, since now there's no need to hook into \@sect to retrieve the name and number for sections:
\documentclass{scrartcl}
\usepackage{todonotes,xpatch,hyperref}
\usepackage[explicit]{titlesec}
% initial definitions for storing the section info (name and number)
\def\thissectiontitle{}
\def\thissectionnumber{}
\newtoggle{noTodos}
\titleformat{\section}
{\normalfont\Large\bfseries\sffamily}
{\thesection}
{0.5em}
{\gdef\thissectiontitle{#1}\gdef\thissectionnumber{\thesection}#1}
\pretocmd{\section}{\global\toggletrue{noTodos}}{}{}
% the \todo command does the job: the first time it is used after a \section command,
% it writes the information of the section to the list of todos
\AtBeginDocument{%
\xpretocmd{\todo}{%
\iftoggle{noTodos}{
\addtocontents{tdo}{\protect\contentsline{section}%
{\protect\numberline{\thissectionnumber}{\thissectiontitle}}{}{} }
\global\togglefalse{noTodos}
}{}
}{}{}%
}
\begin{document}
\listoftodos
\tableofcontents
\section{My first Section}\todo{Section 1 note}
\subsection{A first Subsection}
\subsubsection{A first subsubsection}\todo{Section 1, section 1, subsection note}
\subsection{Another subsection}\todo{Section 1, section 1, subsection note 2}
\section{My second Section}
\subsection{Another subsection}\todo{Section 2, subsection 1 note}
\subsection{Another subsection}\todo{Section 2, subsection 2 note}
\section{A section without notes}
\subsection{A subsection without notes}
\subsubsection{A subsubsection without notes}
\section{My fourth Section}
\subsection{Another subsection}\todo{Section 2, subsection 1 note}
\subsection{Another subsection}\todo{Section 2, subsection 2 note}
\end{document}
:-). Three notes/comments: 1) Why is there a\thissectiontitleafter the first section? 2) There is an unnecessary white space between{\thissectionnumber} {\thissectiontitle}. 3) Is a global redefinition of\@sectnot dangerous (for other tocs/lof/lot etc.,titlesecor other packages) – Jörg May 04 '14 at 10:45titlesecwith KOMA classes (see http://tex.stackexchange.com/q/36299/3954); if you, however, are planning to use this package, the code will simplify considerably since there will be no need to hook into\@sect. Let me know if you want to see a version of the code withtitlesec, although, as I said before, it's not recommended to use the package with KOMA classes – Gonzalo Medina May 04 '14 at 14:50titlesecfor some documents (I'm aware of the "problems" with KOMA, but so far I have not managed without it on some more tricky layouts). If you can add an alternative simplified version that would be great - I was about to ask why this code is quite a bit more complicated than that in your Chapters-in-LOF answer. – Jörg May 04 '14 at 14:55\sectionuses\@startsectionwhich "hides" the commands really used to produce sections (in the case of chapters the commands are explicit). In some hours I'll add a version withtitlesec(I'm short of time right now). – Gonzalo Medina May 04 '14 at 15:03titlesec. – Gonzalo Medina May 04 '14 at 15:52\gdef\thissectiontitle{#1}\gdef\thissectionnumber{\thesection}into titleformat without changing a previously defined titleformat of a section? – Jörg May 13 '14 at 13:31\titleformat, simply incorporate the\gdefs in that definition in the last mandatory argument (as I did in my example). Or perhaps do you mean something else? Could you please elaborate? – Gonzalo Medina May 13 '14 at 13:35titlesec). This package should just use the previously defined section titleformat and add the\gdefs without a need to reformat titleformat (sorry, hard to explain in the comments here). – Jörg May 13 '14 at 14:02\apptocmd{\ttl@select}{\gdef\thissectiontitle{#4}\gdef\thissectionnumber{\thesection}}{}{}. I believe that hooks in the\gdefs at the highest possible level. This also means thatexplicitis not required, but possible. – Jörg May 13 '14 at 14:08