There's part of a chapter in
Bryan Peterson's book Understanding Photography that deals with HDR photography. I have just started playing around with it using a Canon G11, Lightroom and Photomatix. It's pretty fun...I look at it as a different form of art than traditional photography. There's some of my examples in the link in my signature.
I'll add that I have been taking as many exposures as possible and just experimenting. Sometimes it seems to work better using just 3 exposures (for example -2, 0, +2) and other times I like the results better using every possible shutter speed between -2 and +2. I have not yet tried an HDR image that doesn't include the "correct" exposure (such as -2, -1, +1, +2) although it seems like it would work. Also, depending on your camera/software setup a tripod/remote shutter release is not completely necessary but it can be helpful. The "Align Images" option in Photomatix works pretty well.