Not the greatest image - just part of my educational process for learning HDR. Trying different things - both in-camera and post-processing - every day. Not really that complicated - once you work your way through it a few times in order to understand what works best.
A five exposure HDR image using Photomatix Details Enhancer tone mapping. Shot this using the D300's Auto Exposure Bracketing (AEB) (-2, -1, 0 +1, +2) but added a +1.3EV bias to offset the -2 AEB exposure which is way farther underexposed than was needed. I also turned off the Active D-Lighting which I routinely use for non-HDR - the NO Active D-Lighting seems to provide better HDR results. Lastly, I converted the 5 RAW images to tiff in Capture NX2 rather than feed the RAW directly to Photomatix. NX2 is a better NEF converter than what's embedded in Photomatix. I also turned ISO to D300's Lo1 (equivalent of ISO 100). HDR tone mapping has a tendency to amplify noise so it made sense to generate as little as possible in-camera.
I created a shooting bank (D300 provides four banks to save common shooting settings) and named it HDR. This saves things like Active D_L off and ISO=Lo1, etc. (assuming that I remember to select the bank before shooting).