HDR is High Dynamic Range. The idea is that your eye can take in much more range of light and color as it scans over something than your camera, so you try to fill in the extremes by combining shots.
There's a fellow over at Flickr who's a real expert with it. He recommended Photomatix as the tool for creating the HDR image and for manipulating it. I use that and PS.
Some people go nuts adding saturation, luminosity, and contrast, and the effect starts to look almost computer-generated. It looks cool with cars and stuff. I may try that out, eventually.