HDR stands for High Dynamic Range and basically allows photographers to capture and present a greater variety of light in a given scene. So you can see the highlights and the dark shadows at the same time, providing an image with a mega range of light levels. It also provides more contrast which adds an extra punch to the images as well.
I'll be creating a guide on HDR in the near future, so check back soon for more details. But in brief, you need 3 identical images with varying exposure settings and then a suitable tool which will do the rest of the work for you, such as Photomatix of Photoshop. Once you have your images in these programs you can play with sliders and checkboxes to your hearts content to get the image you want.
21/10/08 - Canon 30D - 15mm Fisheye F2.8 @ 15mm - F4.5 - ISO 100 - Various exposures