Ok, so I'm reviving an older thread because recent posts on other threads have me intrigued. 
I grasp the whole concept of bracketing/taking 3-5 shots and changing the exposure via shutter speed. What I DON'T grasp is, what software do you use to combine the three?? Is photomatix (www.hdrsoft.com) the only program that you can use? Let me rephrase that; is photomatix the only one you can use without purchasing CS3? I have Elements 5.0 and my Pentax CD that came with my camera, but what other software do I need?? 
THANKS!!!!
While Photomatix and CS2/CS3 have features for automatically handling HDR, you can get by without them. In the old days (before the term HDR was popular), we used to manually do it using older versions of Photoshop. You just coping the pieces you wanted from various photos, feathered the selections, and pasted them together. It was laborious, but it worked. Actually, if it was as simple as replacing a sky, it wasn't even that laborious.
I think there's several apps that do HDR, Photomatrix seems to be the one of choice for people going for the unrealistic (or hyperrealistic) look. I don't know about Elements but the software that came with your camera doesn't do anything.
I use Photomatix. It is easy to get unrealistic shots with it, but it is also the easiest to get realistic shots with. It's a great product. Don't judge it too negatively because people use it in ways you don't care for.
If you're using a tripod, you should be able to adjust the settings without changing the camera's angle... especially if using a quick-release plate, where you can pop the camera off, fiddle with the settings, and pop it back on and have it exactly where it was before.
I would strongly suggest not take the camera off between shots. You are bound to move something a bit and throw off the images.
For the mode, it depends on the camera I believe. Only one or two cameras have what could be called HDR modes specifically set up... on mine (which is one of those), there's an external bracketing button. Press it and spin the dials to select off, 3, or 5 exposures, and how much bracketing to do to each one. (Very quick and easy - I just started playing with it a little last weekend, around the time I hit 10,000 photos on the camera.
) It only takes the shots as long as you hold down the shutter, so you can leave it in this mode and just take single shots if you want. When you hold it down, it then takes the bracketed shots as configured - normal, then dark, then light IIRC.
Does it do HDR or does it just bracket? Every DSLR I've ever had makes it easy to bracket.
With my camera, you can control whether you want 3, 5, 7, or 9 shots for bracketing. I almost always use 5. I hold the bracketting button (actually a pair of buttons you press together) and rotate the main dial to adjust the spread of the bracket shots (from 1/3 stop gaps to larger gaps). I also use the second dial to adjust exposure compensation (whether I want the bracketed shots centered on the metered exposure or not).
In high speed shutter mode, the camera will fire a burst of shots covering the bracket range and then stop. That's great for hand-held or braced shooting as it can fire off a 7 shot spread in less than a second.
You can also set it to fire all of the shots with a single button press, which is great for tripod shooting.
You can also adjust the sequence. I like it to shoot lowest exposure to highest, but you can reverse that or you can put normal first and then run through the range. I find going from lowest to highest makes the most sense to me, particularly when I'm looking at the shots in LR later.
Maybe this is a reason for me to step up to a "1" series! 
