I was reading this tutorial the other day by the Stuck in Customs guy and decided to try doing some HDR photography myself. I won't go through all the details because Trey does a good job of explaining it all in his tutorial, but here are the basics:
1. HDR stands for High Dynamic Range which means that you have higher variation between lights and darks than in normal photos.
2. In general the best way to do this is to use a camera (with a tripod) to take several of the same shots with varying exposures. Some of the shots should be over-exposed while others should be under-exposed.
3. Use Software (in this case Photomatix) to slap all the shots together and to make your end product look really cool.
So I gave it a try when we were in Yosemite and here are the resulting shots. I think the technique is pretty cool and I'm pretty happy with the results, but I don't see myself making this my signature technique so I probably won't fork over the $99 for the software to do this with.