My experience with HDR so far can make up for this little list:
1. Set shooting to serial if handheld, normal for tripod
2. Set bracketing to AE 2.0, if more, than take more, but usually 2 is just enough.
3. Set RAW on, will produce better quality afterwards
4. Take 3 pictures (I very often take 3 pictures in series)
5. Put them in photomatix (aligning by matching features - that's the option I tick in the initial window)
6. Go for the preset you like (me mostly "Natural" and then adjust it to your liking)
7. Save as 16 bit tiff, drop it in lightroom for final adjustments.
In the end you might come with something like this:
I hope I was helpful at least a bit. If there's anything you'd like to know (though I'm not a pro, but I have some experience), PM me
P.S. Jakup's pic outruns any of my ones by miles