After going through most of this thread it seems to me there some misconceptions about HDR and how it works. I've been shooting for HDR for about 4-5 years and this is what I've learned.
The HDR programs (in Photoshop or others, I use Photomatix-Pro) blend different exposures of the same image; the reason is that underexposed images will have greater detail in the high lights but almost pure black in the shadows. Alternately, an overexposed image will have blown out white highlights but good detail in the shadows. When shooting you need to have the exact same image for all, just different exposures, thus a tripod is mandatory. Aperture priority is also essential since you want the DOF to be the same in all images. The further you go either over or under exposure will render more details in the extreme ends of the final image (to a point). I use a Canon 60D ( a newer camera is just not in the budget, besides it's not the equipment but what you do with it (another UHH thread)), it has exposure bracketing. Basically you would use one normal exposure and the same number of over exposed images as under exposed images. With my Canon I can set the exposure bracketing for three exposures, I set this first set of three exposures so that the highest is at -2/3 step. Then set the next set of three exposures so that the darkest exposure is +2/3 step. I end up with six exposures, the two closest to a "normal" exposure tend to overlap in their dynamic range. The blended image keeps the details in the highlights as well as the shadows The range from high light detail to shadow detail (hence the name High Dynamic Range). Since you should shoot in Aperture Priority, it helps if nothing is moving making changes in shutter speed a non-issue. Moving objects will be recorded at different places, which will create a blur or out of focus areas. Finally, I shoot in raw only because I'm concerned with the detail in my images that I print at 11" x 17", which is the actual image size once it's processed and saved as a TIFF for the larger color gamut