I was going crazy over HDR for the last several weeks. Tried several methods to get a good one. Well, Photomatix still the best one, eventhough the price for this software a bit pricey. You can also use Photoshop CS2 or 3 ( I am about to try the CS3 though) , but they said still not as good as Photomatix.

You can also use photochances.com, especially if you only have 1 picture, not 3 or more pictures ( bracketing system , with 1 or 1/3 stops ) as you should if you want to get a HDR picture.

Or you can try also to change the exposure of the with light with leveling in Photoshop, make 1 single picture into 3 or more different pictures, before you process it with CS2 or CS3 or Photomatix to make it HDR.
For me, many times I found myself back and fort between Photomatix and CS2 for smoothing the end result.

Note: The best way is to take the pictures on RAW files, rather than JPEG.

BTW ( cut and paste from this website http://www.vanilladays.com/hdr-guide/ ):
HDR = HDR means ‘High Dynamic Range’. Using software like Photomatix you can create images with a more detail in the highlights and shadows than you can with a normal photo from todays digital cameras. Its similar to the old technique of exposure blending.
Taking one photo for the sky and one for the ground, then merging them both together in Photoshop.
HDR takes it a step further by increase the amount of detail in the image and allows you to create some unique photos. You can use it carefully to create natural looking photos or you can use it creatively to create atmospheric and emotive photos. The choice is yours as to how you process the end result.
bla..bla..bla.....more click into the website

Another useful website how to do it http://stuckincustoms.com/2006/06/06/548/ . The photographer Trey Ratcliff is a brilliant person. He was the one who made this HDR styles so popular among world photographer. Not to mention that actually he only has one good eye, since his right eye went blind a long time ago.
His personal collection of HDR pictures http://www.treyratcliff.com/

Enjoy my HDR-attemp collection pictures...
:-P