An HDR is an image that has a lot more colours than a standard picture, sometimes these colours are not even distinguished by our eyes, but with that much colour information, it is possible to create cool effects by mapping those colours to a
colourspace that our eyes can see and the screen monitors can display. It can also be used when taking a picture of scenery that has areas too dark and too bright to capture in a single shot, HDR software will basically take balancely exposed dark areas from overexposed photos and balancely exposed light areas from underexposed photos and merge them together. The latter does not require special colour manipulations after, just plain software image merging.
Here are some examples of HDR mapped images that I took. You will be surprised how boring the source images are: