THINGS YOU NEED, TIPS AND ADVISE FOR HDR PHOTOGRAPHY 
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: Set your camera to capture images in RAW for HDR photography, the first thing you will notice is that your file size doubles or more. RAW files use no compression, which means when you come to editing the photo, you will have a much larger amount of data to work with giving you a better final result. JPEG files use compression to reduce the size of the file and therefore reducing the amount of detail, the Jpeg file systems is known as a LOSSY type files out of the box your camera is probably set to this as it has become the sandard.  

:   You will need a Photo editing program for your HDR photography such as Adobe Photoshop, Picaso, etc. to finish of the HDR photo such as final cropping or other editing.
:  You will also need a HDR program such as Photomatix, HDR pro also the newer versions of Photoshop have a HDR function. When you first start combining photos to produce HDR photos simply play, save learn the controls then save the shot then look at it again in a couple of days what you went WOW! to when you did it may not look as good because you over processed the shot, easy to do some people call it the candy effect.                              
:  Learn you camera, be familiar with setting your camera to AV (aperture priority) and the auto exposure bracketing (AEB) settings. HDR photography requires you to use a fixed aperture but vary the shutter speed..
:   Use a Tripod when doing HDR photography,  this will allow for a stable mount for long exposures. Invest in a good quality one, cheap tripods move and vibrate and can be unstable, your camera and lens can be worth thousands and an unstable tripod can fall over, it will also last you for years, the down side is the weight.

:    Turn off the Image stabilization (IS/VR) setting on your lens when using a tripod, if you Google whether to do this when using a tripod you will get some sites that say yes turn it off and others that say with moden cameras there is no need to as the camera can detect that a tripod is in use and it will disable the IS/VR system. I have 1 IS lens and aways turn it off when using a tripod. "IS/VR" is great for shooting handheld shots as it will give you an extra stop or 2 when shooting, but as it is a 50/50 split dont take risks, just remember to turn it back on when you finish.
:   Be aware of movement in your subject remember with HDR photography you will be taking 3 or more shots of the subject and you may have long exposures, this can lead to blurring of moving subjects this can be a great effect for water and clouds but not so good for moving objects such as people in a photo.
:   Remove your finger from the shutter when you press it, on long exposures your finger on the camera can cause vibrations, Depending on your camera use a remote shutter release or set the timer to at least a 2 second delay this means that you can be clear of the camera, remember that with HDR photography you generally shoot static objects, so a 2 second delay shouldn't effect the final shot. 

:    Use AEB Bracketing functions on your camera, its perfect for HDR photography it will allow you to take 3 shots  or more at the preset +/- aperture in one go, see you camera manual for the how to on this. 

:   Learn your lens, all lenses have a sweet spot. That is an Apertures that gives you the best sharpness, usually around the middle range f/8-f/11 your depth of field at these apertures should have all of your picture in focus, experimenting is the only way work this out.

:   Do not edit or adjust your photos before you merge your photos in HDR, if you do it will effect the finished results negatively. Once you have merged your photos in your HDR program you can then edit it in a photo editing program such as cropping, sharpening or adjusting the colour bightness or the tone of the photo.

: Check if your camera has a mirror lockup function if you need to do long exposures mirror lockup places the mirror in the open position then the shutter opens takes the photo then both the shutter and the mirror close, the advantage of this is that if removes any vibration caused by the mirror action which affects long exposures.