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So this is the first of 6 -> 2 images I took today walking to pickup reading. Basically, HDR (High Dynamic Range) photography is done by take multiple pictures at different exposures and then merging them into one picture. I used the 40D's ability to burst fire 3 shots metered at -2, 0, and +2. And used qtpfsgui to merge them. The alogrithim I used for both was different, in the bike one I tried to find the most realistic look, whereas for the tree I used a different one for dramatic effect (and didn't play around with it much).
Next time, I should probably not shoot a tree, with leaves, which move. And while the bike one has almost no ghosting, a tripod is always best. Finally, I might try Photomatix which is supposed to have more realistic algorithms. Enjoy!
EDIT: Since that may not have been clear and these photos might look normal, here's the deal. The bike is in the dark and the sun is really bright. I shoot three photos, one with the bike exposed about right, one with the outside about right, and one with the Sunny areas about right. Then I combine these, so it looks closer to what you "see" in real life. Since the camera isn't able to capture the detail of different lighting environments in a single shot.