I’ve seen good uses of HDR (which is actually compressed dynamic range, just not called that). But I don’t like when the sky looks darker than the land–it’s unnatural; not even what our eyes see.
I had a shot recently (RAW of course) which I turned into this; no HDR needed. You can do plenty a polarizing filter (though I lacked one), curves, dodging, and burning, and it’s easier. What I’d like our budding photographers to think of, is that if you want to make a dark patch of ground bright like the sky, it’s going to look fake and shoddy. There’s a reason your subject is dark. If the scene is so contrasty that your subject goes pitch-black when the sky is a moderate blue, your shooting in the wrong light. Instead of trying HDR, try coming back in the evening.
Though cluttered (scroll down), this is a good article on HDR photography. You take several photos of the same (static) scene at different exposures, then blend them together afterwards. You can save them including the full range of luminance values in some editing software, but only expensive monitors can display the high dynamic range (distance between light and dark). So HDR photography we see is just compressing the range to be displayed on our monitors.