For a good HDR shot you can't just shoot in different exposures and hope for the best. You kind of need a situation in which theres a lot of difference in light. Backlit scenes are awesome for this because you can capture the lit up parts in the underexposed shot and the dark parts in the overexposed. HDR combines these together to show them both without the shot being over or underexposed. Excellent example is shooting towards a sunny window in a dark room. If you do standard exposure (metering half for the room, half for the window) you'll see a dark room with a slightly overexposed window. If you try to expose for the window you'll get a very dark room with no detail. Shoot 3 exposures of the room and combine them for an HDR shot which will show detail in the room, detail outside the window and an overall increase in color saturation, depending on what you prefer.
I use Photomatix Pro for my HDR shots and my 350D's exposure bracketing function at +/- 2 stops. If you've got a newish Canon DSLR you should be able to do this too. It's in the second page of the menu under "AEB" on mine, probably named the same but in a different location on others. Bring the 3 points so that one is in the middle and the other two are at +2 and -2. First shot you shoot will be normal exposure, then overexposure, then underexposure. If you shoot with a remote it will take all 3 automatically. Obviously you want to use a tripod for this because the 3 images need to lineup perfectly.
Anyway this picture here illustrates what I was trying to get across.
In the original the room was detailed somewhat but the windows were overexposed and you couldn't see the buildings outside of them. I shot 3 exposures at +/- 2, merged them using Photomatix and actually toned down the saturation a bit (it was really whacky at default). The result is VERY close to what the real life scene looks like.