I have been trying my hand at HDR too with some encouragement from Christine. I can't say I'm completely happy with my results so far but I have learned a lot.
Photomatix is a very capable program. Any one who is experimenting with it, I would recommend you update to the latest version. Version 3.1 does a commendable job of aligning the images even for hand held shots. If anyone is using LightRoom 2 as well, get the LightRoom Export plug-in (at beta 5 as of today but very stable and usable). This makes it so easy to use straight from LightRoom. For those of you using Aperture 2.1 there is also a plug-in (it is in beta 8 as of 26th Jan 09), I haven't tried the Aperture/Mac version but if it is anything like the Lightroom version I would recommend you try it. You can find links to these in the News section on the Photomatix web site (www.hdrsoft.com). These plug-ins are different from the Photoshop plug-in which is an extra $10 or so, and is a simplified version of the stand-alone program, as these simply export temporary TIFFs from LightRoom or Aperture and present them to the main Photomatix program allowing you to use your preferred RAW converter rather than the simple RAW converter built into Photomatix. One minor problem with this approach is that even though Photomatix can take a ProPhoto TIFF it only seems to be able to save AdobeRGB TIFF. Hopefully this will be addressed in later versions.
A couple of things to remember, five images are better than three images which is much better than one image (these are all produced with three bracketed images but if you compare with Christine's images which are shot with five images you will see much more subtlety in the colours). When you first start playing with the controls when you have what you think looks great, have a couple of minutes away from it before you process it and when you come back try reducing the strength, saturation or gamma and see if a slightly more subtle approach is not better. It is very easy to go over the top and produce striking images that do not look real. Mine are still a little over done but I'm just starting.
These are some examples I have done using Photomatix:
This is one I did using Photoshop CS3 which does a wonderful job of aligning the images but the tone mapping options are rather poor compared to Photomatix (I believe CS4 has improved options but I have not tried these) with a lot of effort it is possible to produce some very satisfactory results. With this image I had to do almost all of the manipulation and enhancement in 32 bit (Photoshop does let you use some layer adjustments and filters on 32 bit files) because as soon as I tried to tweak the file after tone mapping to 16 bit the sky posterised immediately.
There are several web sites that offer a 15% discount on the price of Photomatix, here is one http://dannorcott.co.uk/hdr-software/