I was playing with the HDR program Photomatix today. The bracketing feature on my new D70 makes it much easier to use than it was on the D40. You get HDR pictures by merging photos with different exposures.
This was the middle exposure:
This was after merging three photos: one overexposed, one underexposed, and the middle one above.
This is another middle exposure.
This is another blend of three different exposures.
You can get much more dramatic examples, if you use the program more aggressively. Flickr's HDR pool is full of examples, although some of them are too over the top for my tastes.