In the past I needed to bracket my shots, typically with three images about 1-stop apart in exposure. The HDR process, using software such as Photomatix, involves taking parts of the three images to create a single image with brighter exposure in the dark areas and darker exposure in the lighter areas. It is often said that this is how the eyes sees. Photomatix does this automatically.
But with Lightroom 4 I find very nice results by taking only one image and (1) reducing "highlights" and "whites" and (2) increasing the brightness of "shadows", all via sliders in the develop model. In this example of the old Boston State House building, the basic exposure was a RAW file taken with a Panasonic LX5 and imported into Lightroom 4. I adjusted the "highlights" and "whites" slider to minus 100% and adjusted the "shadows" slider to plus 100%.
Below are the before and after results.
Note that the light areas (such as the sky) are darker and the dark areas (building surfaces) are lighter, in the second image.
(Also note that I have also used Lightroom to reduce the amount of perspective distortion recorded in the original file. Perspective distortion refers to the tilt of the buildings. It is the same thing as what happens when you look down a long train track.)