I tried to do some HDR photography while on vacation in Scotland last week. I'd say the results were mixed. I like the one above and there are some more here.
As a total neophyte, I had to learn some options on my camera I hadn't used. I don't have that all figured out yet. The biggest obstacle to overcome, however, was camera shake. I didn't use a tripod with any of the ones I did. They would have worked a lot better had I had one.
HDR involves taking bracketed exposures (I was trying to do three) and any movement of the camera makes the results very blurry or ghostly. In some of mine, I only used two photographs because three looked as if I had been drinking shots of Scottish whiskey between frames.
I used Photmatix Pro to create the images. It's very easy to use. Course, I'm a five-year-old flipping the switches at Mission Control. Simple!
There are a number of guides and tutorials.
I think I'll try some of more.