Your not doing something right. HDR stands for High Dynamic Range. Meaning the image has details in the brightest areas and darkest areas, more detail then you can capture in a single shot. You need a minimum of three images at different exposures to create an HDR final image.
What program are you using to create the HDR's?
i thought i was =\
i'm using GIMP
i just go to open layers and it opens a bunch of pictures as one, or something...
.... i have a feeling i've been doing it very wrong