See the HDR images on my Smugmug site.
Even the latest models of digital cameras cannot capture the colors and details of the bright and dark area of the image at the same time. In these three below, the orange glow only shows up in the middle (under-exposed) image and the bright blue color on the pool only in the right (over-exposed) image.
An HDR program simply takes "the best part" from each shot and combines into one image.
By adjusting the parameters, the effect can range from subtle to artistic, unreal, psychedelic or just plain gaudy. ;) You can see all kinds of examples on Flickr.
I use Photomatix Pro by HDRSoft to create HDR images ($99). I also used FDRTools (Full Dynamic Range Tools) briefly but it seemed easier with Photomatix to tweak the parameters (between subtle and extreme). Both Photomatix and FDRTools offer basic freeware version and advanced shareware version. The shareware versions can be downloaded and tried for free but they add watermark (logo) to the result.
If you are familiar with GIMP (free, open-source equivalent of Photoshop), then you can follow the tutorial on Instrutables.com listed below to create HDR. I believe (the new version of) Photoshop includes HDR support also, but I haven't tried it myself.
"HDR" is such a Google-friendly keyword that always gives you good search results. Here are some of the sites I like:
April 21, 2009 - Komei Harada