to get the best from it you need a camera that does Auto Exposure Bracketing (AEB), any dslr camera can do it.
with the basic canon dslr cameras you get to choose exposure variation from +/-2 (where 0 is 'normal' exposure). one you tell it to use AEB and have set you exposure choices - you want one under exposed, one over exposed and one normal. then you take 3 pics and then you combine the pics on your comp later on.
i'm pretty sure better cameras can do 7 or 9 exposures or maybe more
i guess an alternative is to take 3 or more pics on a tripod if you didnt have AEB, but u need to be quick and not move the camera at all.
check out photomatix from:
http://www.hdrsoft.com/
u can use their software or their photoshop plugin to make great hdr
this app is not bad either, check out the vids on the site:
http://www.mediachance.com/hdri/index.html
it will do some kind of hdr effects on ONE jpeg image! not brilliant but you can get some nice effects.
RAW format is better to
(rather than jpeg)