I’m amazed by the Sony a57 automated HDR function. The camera takes 3 shots up to +/- 6 EV and glue them together to create one picture in High Density Range.
But what is HDR? Ever tried to shot a picture in a church and wanted to get all the dark details of the benches and nice colors of the stained glass? Your eye could see it but it usually ends up with under or overexposed picture. This is where HDR comes handy. Just take three pictures: normal, underexposed and overexposed. Now stick them together with “an algorithm” (there are bunch of those and they give a final photo different look).
In early Sony Alfa DSLRs there was Dynamic Range Optimization. It split your picture in zones and adjust each of them separately. In the more advanced Sony series you also get an automated HDR setting that will do all the work for you. All you need to do is stand still while it takes three photos and you will get one HDR photo in seconds.
You can see a quick example below as an animated gif. Pay attention to the under and overexposed parts on the first frame and how it is compensated in the second one.
You can see both of the images below as the animated gif above was reduced in size and quality.