I went through an HDR phase... it was... interesting.
Adobe CS2/3/4 can merge to HDR. Or you can use Photomatix. There are other programs out there, but those two are the ones I've used.
If you want some specific tips, please ask them in the FAQ. Include an example, too.
I want to be remembered for the
people I helped make memorable;
personal success is overrated if it
doesn't help everyone's progress.