I'm planning on shooting some HDR photos soon.
HDR stands for High Dynamic Range and basically means a photograph with a very wide range of exposures. Cameras have a limited range (some more limited than others), so the picture they take does not really reflect the range of light intensity that you see.
HDR processing involves the combination of a number of photos of the same scene, with different levels of exposure. If you Google HDR you will see many many pages on it.
The limitation of HDR is that the scene must be static. You can't shoot an HDR photo of a scene with movement because the multiple exposures will not have the same image contents. I suppose it could produce an interesting effect, though!
This excellent HDR blog post describes how to create HDR images using Photoshop. I don't use Photoshop, so I could use a tool like Photomatix instead.
Some cameras now have HDR features built-in, like the Pentax K-7 or the Canon G12.
This interest has been sparked by my participation in the 365 Project. It's one of those "Photo a day for a year" sites. It's really stimulating my love of photography. Believe it or not, I'm taking photos of more things than trains and my kids!