On October 20, 2009 Cemal Ekin made a presentation on HDR imaging explaining the concept of HDR, its tools, and he demonstrated how to use his tool of choice, Photomatix for this purpose. You will find his presentation slides and a printable PDF file of them that you can download.
See the blog post about this presentation on his site.
See another post where he explains how to process a single RAW image in Photomatix for better results.
A very early post on expanded range processing in Photoshop.