I am trying to get started in HDR imaging as well. I recently bought this book that lots of folks on other forums recommended:
The HDRI Handbook: High Dynamic Range Imaging for Photographers and CG Artists +DVD [Illustrated] [Paperback]
By: Christian Bloch (Author)
He has a companion website as well:
http://www.hdrlabs.com
The book is very technical, and it goes into all the "how to build a watch" aspects of HDRI in addition to the basic "what time is it?" stuff. Honestly, I skipped some of the overly technical mumbo jumbo. I did read most of it though. It helped me understand the concept of high dynamic range imaging, and that helps me understand what is going on when I mess with the settings in Photomatix. I don't know if it will help me get better-looking images or not, but time will tell. :)
I also have tried a handful of HDR software, and I like Photomatix the best. I bought the full version of it, and I'm still trying to learn what I can do with it.