Here is a counterlight shot I've taken in Amsterdam during my last trip. Crappy photo as I could enclose the whole tree, but enough to give an idea.
Before (this is the jpg shot you see on the camera LCD)
After the HDR treatment (plus horizon aligned with Gimp and light contrast mask)
Here are the EXIF data
Canon EOS 400D+Canon EF 17-40 L
f/6.3
1/640 sec.
ISO 100
focal 33mm
I shot the photo in RAW format (Canon's RAW files have the .CR2 extension) and made three jpg images with the same dimensions but with three different exposures, then I processed them to get the HDR. Shooting in RAW is a nice thing as you get an uncompressed photo which is much bigger than a (compressed) jpg but stores a lot of information. Moreover, this will avoid one bringing a sometimes heavy tripod. Reflex cameras can save RAW images, I think bridge cameras too. Point'n'shoot cameras usually don't as far as I remember.
My advice: HDR processing always increases digital noise, so make sure you shot with the lowest possible ISO (100 in my case, the most recent cameras can shot at ISO 50). Also, keep in mind that an underexposed shot is way better than an overexposed one because this will burn the details in the over-lit areas.