HDR, or High Dynamic Range, is all the rage now. Many of the new higher end DSLRs, and even some advanced P&S style cameras have an HDR setting built in.
The basic thought of HDR is you take two, three, or more exposures of the same (static) image (preferably on a tripod). One shot, the exposure is optimised for shadow detail, another for highlight detail, and maybe some in between. Then, in your photo editing program (ACDSee, Lightroom, CS, etc...) you sandwich the exposures together. The end result is an image that looks almost odd if done for that effect, or an image that has detail like no regular photo will have. Usually, if you go with the "regular" exposure, you will have details obscured in either the highlight area, the shadows, or a little bit of both. Do a web search for gamma, curve, toe, shoulder for an explanation. A lot was printed in the 70s and 80s concerning film, same things happen in digital.
So, how is it that some software or camera companies advertise "One Shot HDR"?
Well, if you shoot in raw instead of a jpeg file, you get more info in the image file. Remember, even the highest resolution jpeg image file is still a compressed file. That's what jpeg is. But, if you shoot uncompressed, in whatever raw format your camera uses, you get a lot more image detail in the file. This will include detail in the highlight and shadow areas. Then, use your photo editing software to adjust those details to different levels. You can get an image with higher than normal highlight and shadow detail.
True HDR? No. Impressive final images? Yes, if you take your time to learn the photo program you have.
Two examples of my own:
