I'm into this HDR thingy too. My advice to you:
1. Visit this excellent HDR blog
www.stuckincustoms.com and be ready to be mesmerised by his great HDRs photos!
2. Now that you're inspired but before you go shoot photos for HDRs, read his tutorial first. (Sorry, you've got to look for the link yourself.)
3. And just when you think you're done, go buy a good book on HDR (it really helps to understand what HDRs are all about).
4. Go get a good piece of HDR software, like Photomatix Pro, and learn how to use it. Books usually will explain.
5. Finally, practice, practice, practice!
HDR does NOT eliminate the need for good photo techniques. Things like exposure, composition, etc. are all still very, very important. In short, HDRs do not mask the photographers shortcomings.
Beginers may tend to tweak HDRs too much as it is quite easy to be carried away. I think there's no need to do too much post-proc, unless a you desire a really surreal image.
Patience and persistence are key. You may think that you have some really good photos, but when you return to merge them into HDRs, they may end up worst than keeping them as they are without HDR!
Show us what you have on HDR and CSers be happy to C&C for you.
...and finally...enjoy what you do!