HDR is the combination (bracketing) of 2 or more images in an effort to better capture (and display) the highlights, mid-tones, and shadows.
Matt Kloskowski has had several recent blog entries specific to HDR, one is a video about HDR, the other contains "Links, News, and Inspiration".
Here is a very good High Dynamic Range Tutorial, here is another, and here is one more from Pop Photo.
Some folks (including Mr. Kloskowski) are not big fans of using Photoshop for HDR and prefer to us Photomatix, you can view tutorials here and download a free trial here.
