A couple of days ago, I posted two photos of a sunset over the Platte (one with birds, one without.) That shot looked pretty good and dramatic to me, but it also highlighted the limits of dynamic range on modern DSLR sensors. To get the sun exposed right, the ground had to be silhouette and the upper cloud deck nearly black. While I like the other shots more than this one, here's an example of the kind of flexibility that can be afforded with the same scene when using HDR.
This was done with 5 photos, each taken 2 EV apart using a 70-200 2.8 IS lens on a 20D, tripoded and cable released. The source photos were merged and downsampled in CS3 and edited with CS2. Click to enlarge.