My blog post about HDR photos and Photoshop has been unexpectedly popular. I wish I'd done better explaining HDR, but I'm still working on understanding it myself.
In addition to Photoshop there are a lot of other HDR tools out there. Photomatix is one really easy to use standalone tool with a free trial for Mac and Windows. It seems a bit more fast-and-loose than Photoshop's nerdy careful approach, well suited for exploration. I particularly like the "Exposure Blending" tool where you can throw a bunch of photos into it and quickly come up with a single tone-mapped JPG. If you want to play with HDR and Photoshop seems too difficult, check out Photomatix.HDR Flickr set to include 3 different HDR processes on the same set of pictures: Photoshop, Photomatix automatic, and Photomatix tone mapping. Amazing what variation there is.