HDR stands for High Dynamic Range. A HDR photo is able to capture and display a wider range of tonal details for a particular photo. For example, the photo I took on my right is actually taken at night (around 8pm). I've made multiple exposure to the same scene on a tripod and later merged them into a HDR image using Photoshop.
Still experimenting the technique as its quite new to me. But i would say its quite interesting and rewarding once you have the results.