To be honest I have seen more wacky HDR images than good ones since I discovered this technique of enhancing the range of exposures in a digital image. HDR is short for, High Dynamic Range, and means that bigger range of values between light and dark parts of the image. When you take a photo of a building the exposure will be adapted to the building, the lighting and colours are shown correct. But if you look at the scene with your own eyes you will probably notice the bright blue sky and maybe some clouds in the background. This is not shown in the image because the camera has a limited range of intensities for a given exposure. By taking multiple shots of the same scene with different exposures, and later merge them into a HDR image you can see a wider range of intensities.
So when I tried this for myself I started to understand why I have seen so many wacky HDR pictures. It is not easy to do (especially if you cannot afford the right software) but there are some guides out there. Personally I like Paint.NET which is a free and very competent program. Unfortunately it cannot merge HDR images natively like Photoshop CS2 and CS3 or Photomatix. Before you run out taking pictures like a madman, remember to bring a tripod. Yes, I know you might feel geeky putting a compact camera on a tripod but it is the only way to take three or more photos looking exactly the same, except for the exposure. Tip number two: don't try to make a HDR picture of moving things, unless you spent £350+ on a camera that saves pictures in RAW.
Those of you who are just too lazy or do not want to spend too much time can check out this tutorial, which only requires one picture. The tutorial is for Photoshop but it works in Paint.NET too. Just make sure to use Overlay instead of Soft Light and put the Opacity level to 110ish for a good effect.