M-a-d-d-y

Heh no problem. So do you mean actually taking them? or the editing part?

Well taking them I normally use RAW as you don't need a tripod or anything. But the proper way to do it is to take 3 different exposures. (Sorry if you already knew that part)

So then you should end up with atleast 3 exposures of the same image, whether you use RAW and do the exposure yourself using photoshop, or you take the 3 exposures at your desired site.

To edit them I combine them in photoshop (File.. Automate.. Merge to HDR..)
And then (this is the important part) to get HDR's actually looking interesting you need to use tone mapping. Photomatix is a popular program to do tonemapping with, however I downloaded a photomatix plugin for photoshop so then I can just use the one program.
There aren't many tricks to using Tone Mapping as it entirely depends on what look you are going for. I just fiddle around until it looks good

I hope that helps! Sorry for the long explanation.