Wow, those are amazing, really like the train one.
I am still trying to figure our HDR, since my D40 dosn't have a mode for taking 3 photos at different exposers.
Oh you have a D40? That's the same model I have!
For my HDRs, I usually shoot in RAW format, with "P" mode selected, and exposure comp set differently for each exposure... Unfortunately this can take a bit longer than with a camera that can do the different exposures automatically, so I have to use a tripod... Here's an example of my exposure comp. settings for, say, 3 exposures:
Bright exposure: +4.0
Normal exposure: 0.0
Dark exposure: -4.0
As I said, you have to change the exposure comp. setting before each exposure.
You could also do a faux-HDR from one RAW exposure, I believe. Sometimes you can achieve a nice effect. A couple of the pictures I put up in my last post were made from a single exposure, but it does involve a bit of tweaking. For HDRs, I use Photomatix to put the exposures together and to create the final photo.
EDIT: The pictures that look like HDR but were made from single exposures are the beach photos and the train photo.