Check out that link Herzog put in, good basic starter tutorial, Photomatix pro 4.0 64bit is much better than the HDR you get with photoshop alone..
I do it in this step
3 raw files ----> Photomatix (tonemapped)
Save tiff file (roughly 100-125mb)
Open Tiff file with my Camera Raw (adobe) (other editing)
Open all 3 raw + tiff as layers on a single image
Create a Layer mask (editing)
Noiseware Pro, or I use Topaz Adjust Noise reduction
Always shoot at 100iso or lower, turn off any IS you have in camera, any kind of highlight adjustment, turn off the IS on the lens too.. (if using tripod)
I have about a year experience, shooting DSLR, about 5 years photo-shop.. and 20 hours of HDR now. Still a baby in this... but my passion for it is insatiable
Took my first HDR with my Canon on the 1st of this month. Once I get this locked down, and can produce good stuff every time, Ill do Panoramic HDR 12 shot stitches, thats my goal.. or if anyone has 100 k around.. id like a camera akin to Peter Liks setup