I have been fascinated by HDR images I've seen over there years, and I've always wanted to try to create some myself. This one, I took with my handy-dandy Canon SD1000. I just used exposure compensation by putting the camera in manual mode and mapping the print button to the exposure controls. I took (5) images at -2, -1, 0, +1, and +2 EV and used HDR Soft's Photomatix Pro 2.5.4 on the Mac (PC version exists as well).
One of the tutorials I've read is this one, which goes through the process and has some dazzling images to feast your eyes upon as well. Here is another tutorial.