HDR, or high dynamic range imagry, most often combines one or more different exposures of a scene combined digitally. The goal is either to imitate how the eye sees a wider-range of light and dark detail or to create an idealized or surrealist image.
Below is an example created by Trey Ratcliff of Stuck in Customs, a site which provides excellent examples of HDR, as well as a tutorial on how to get started. The image below is a Creative Commons (link to Flickr's explanation) image.