This is my first attempt at serious HDR. I bit the bullet and bought a licencse for Photomatix Lite. Photoshop CS3 has some tone-mapping options for HDR photos, but Photomatix blows CS3 out of the water in that department, and while CS5 is supposedly much better, I'd rather spend $40 than $400, at least for now.
The above image is pretty much out-of-the-box from Photomatix Pro. I had taken 3 bracketed exposures of the desert sky behind my house in New Mexico a couple years ago (makes you wonder why I left, huh?).
If you aren't familiar with HDR (High Dynamic Range), it's basically a way of taking multiple exposures of the same scene and combining them to make a very realistic looking image. I'm not nearly as good at explaining things as wikipedia, so I will direct you there if you are really interested.
I just set my camera to Auto Exposure Bracket at +2/-2, and probably shot this hand-held. The subject is far enough away that any movement I made can be "fixed" with image alignment. Most of the time you'd want a tripod to do it "right".
These are the exposures straight from the camera. You can tell each one has different levels of detail for different parts of the sky or the ground.
There are countless examples of HDR "gone wrong", but I think good HDR is one that brings out the image as it would look if you were actually there. And I think this particular image does that pretty well.