Gizmodo's John Mahoney explains how to take high dynamic range (HDR) photos so that the results of your photograph more accurately recreate what you were seeing when you snapped the shutter. When would you want to use the HDR technique?
It's simple: when you're trying to capture a scene with a wide range between its lightest and darkest areas (aka dynamic range) as accurately as possible. Your camera's sensor can only capture a small portion of the light that your eye can take in and process, so to make up for that, HDR images are created by combining the pixel information from several pictures into one 32-bit Voltron-file that contains the full dynamic range of each of the individual shots used to create it.
Gizmodo's updated guide is extremely thorough and worth a look for a budding photog or Photoshop user.