HDR is short for High Dynamic Range. It is a post-processing of taking either one image or a series of images, combining them, and adjusting the contrast ratios to do things that are virtually impossible with a single aperture and shutter speed.
I thought I would give it a try, and liked the results, although this particular scene isn't as dramatic as I would like. The best HDR's have deeper shadows, so I will be looking for more dramatic scenes in the future. I used a Photomatix's free version found here which leaves a watermark on the finished image, but I cloned it off my image.