I've played with HDR (High Dynamic Range) images for several years now, using filters and multiple exposures. Now I'm using a program that does a great job of automating the process.
An HDR image is one in which you've been able to capture, or create, an image with a wider range of exposure than a camera (film or digital) normally could. The human visual system (eyes and brain working together) are amazing in a number of ways. One of those is the wide range of light you can see. If someone's standing inside, in front of a window, and it's sunny outside, you can most likely see detail in both their face and the area outside without really trying. A camera would have a hard time doing that. You can choose to expose for the person inside or the scene outside. That's because cameras are limited to about 8 stops of information in their exposure (this range can be a bit lower or higher depending on things like film, RAW of JPEG, processing settings, etc.).
There are a couple of ways to get around this limitation. If you want to make the above photo with just one shot, then the best way is to add light (flash perhaps) to the inside area.
If your photo involves two areas of differing exposure and there's a natural divide between the two, you could use a split or graduated neutral density filter. This can work very well when the sky is much brighter than the area below the horizon. The filter allows you to darken one section of the scene to bring it into a range where its exposure can fit in with that of the other area. The problem with this, of course, is you need a fairly strong and hard line between the two areas (such as the horizon) for the filter effect to look natural.
If you've got a tripod and a willing subject, then you could shoot multiple exposures (for both the inside light and the outside, in the first example) and combine them later. This has traditionally been done using a program like Elements or Photoshop, putting each exposure on a separate layer and hiding or revealing areas to get the proper effect. Photoshop CS3 and CS4 even added an "Merge to HDR" feature to try to automate this. Unfortunately, neither has worked as well as I'd like.
There are some other programs that do this, and the one I've kept hearing about is Photomatix (www.hdrsoft.com).Several friends have used it and raved about how well it works. So I finally took the plunge and bought it. And I love it. To me, one sign of good software is how quickly you can figure out the basics without reading the manual. A couple of years ago I led a trip to the southwest, and we hiked in to Havasu Falls. The framing I liked gave me half the scene in full sun and half in shadow. So I set up my tripod, attached the camera and shot five frames, changing the exposures from highlight (sunny areas) to shadow. I brought that group of images into Photomatix, chose Tone Mapping (there's also Exposure Blending), played with the sliders a bit and saved the image out as a 16-bit TIFF. And it looked great. I've done this manually in the past (adding layers and painting between them), but never as quickly or easily.
So another piece of software's been added to my toolkit. And now I'm going back to my files for some of the other shots I've done like Havasu Falls, and start running them through Photomatix. Should be fun!