When I shoot for HDR I use AEB and typically set it at +/- 2EV. I use a tripod and remote. When using the AEB setting on an XT (and probably on XTi) with a remote, the camera will fire off all three exposures one after the next.
I would recommend this method opposed to manually changing the settings between exposures. There are two reasons for this. First, time goes by while you're scrolling to the next exposure setting, clouds move, wind blows, etc. Any moving objects in your exposures will have 'ghosting' when you combine them to HDR. The second reason is that you have to touch your camera to change settings. Every time you touch your camera, even if it's on a tripod, it can move. This could put one of your exposures slightly off from the rest, then you end up with nasty ghosting around the 'edges' in your images.
As to my choice of exposure space (+/- 2 EV), it's simply this; your average camera sensor will capture about 5EV or more of 'high quality' color information. The 'best' place to capture color information is 'to the right' of the histogram, there is less color noise there. So you have about 2.5EV - 5EV of space above the middle of the histogram to capture good color information from the scene. If the exposures are moved in 2EV increments then you're going to capture all of the color information within the histogram's 'sweet spot' with about less overlap between exposures. Exposure spacing of less than 2EV does not harm the quality of the HDR at all. It also doesn't improve it either in my experience. It just increases the amount of overlap between exposures and uses more memory while shooting. I would recommend that you shoot the exposures at 1EV increments as recommended by others, then process an HDR using all exposures, then again with every other exposure and compare the two to see if you notice a difference. Please note that if you do this comparison, that the highest and lowest exposure must be the same images in each HDR processing. (hope that's not too confusing)
A very handy tool for HDR is the Photomatix tonemapping plugin. It can produce some very wild looking results at times. But if used carefully, you can create very natural looking results.
Oh... and I do shoot in RAW... always!!
