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this obviously isn't a practical use of the effect, its just to show how much of a difference it can make. Any effect needs to be used with finesse to have it look right.
And to those who say HDR is a gimmick, it has a purpose, its just misused 98% of the time. It's purpose is to make a photo with irregular lighting actually look more natural since a camera can't handle those situations the same way our eye does. However its mostly used to accentuate shadows and highlights, that can look cartoonish when over-used.
bracket three shots (or more if you must) stack them in photoshop (I like to do medium, lightest, darkest) and then use a clear brush to erase parts of the layer you're on that need to be darker or lighter. You get the picture.
That's what HDR tries to do, but it leaves behind terrible halos and splotchy blends. People are using it to use it right might as well do it by hand, seeing as though they are actually going for a good image. There's really no reason to use PS's HDR or an HDR program unless you're going for the strange HDR look.