HDR- High Dynamic Range photos are post processing techniques (tone mapping, blending etc) that allow for greater color luminance and depth of an image. I use Photomatix Pro software and play with the settings as I learned from RC's tutorial, then I take the photo into Photoshop, play a little bit more with it and voila...I do not use Photoshop CS4 to merge my images because I get better results in Photomatix.
I try to make my HDRs look a bit more realistic and not so "plasticy" looking but you may like that type of look.
So what is an HDR image? I use the exposure bracketing setting on my camera and shoot 3 images with multiple exposures- one at -1 EV, normal and a third one at +1 EV. But you can use more exposures too.
Recently I also made my first ever HDR portrait. Check it out here.
Here are some HDR tutorials:
Here are 3 of the images I shot over the weekend:
And the resulting HDR image is here.