I've been trying HDR for a couple of months now, using Photomatix as well as CS4's HDR. Trial and error has been helpful in learning to get passable results, as have been the tutorials on the web, including those on Photomatix' website.
I'm the kind of photographer who needs more than cookbooky examples. To do something well I really need to know some of the theory and science at the basis of a process, as well as explanations of just what the different adjustments do to the pixels. My scientific abilities, alas, are easily overwhelmed by sheer technical writing, and I need something that makes, what for me are difficult concepts, clear enough for me to grasp.
I heartily recommend 2 books on HDR. First, "Complete Guide to High Dynamic Range Digital Photography," by Ferrell McCollough, goes through some of the background of HDR and compares a number of HDR programs. It has enough of the technical aspect to get you started, and has lots of examples of HDR photographs. The author shows difficult cases and explains how to adjust the parameters to get the desired results, and ranges from "painterly" to realistic, depending on your goals. His examples using Photomatix are a good supplement to Photomatix' website tutorials, going deeper into how to adjust the images.
Second is the "HDRI Handbook" by Christian Bloch, with Uwe Steinmueller as one of the contributors. Bloch goes into great detail on many aspects of HDR, and compares many of the available HDR programs. It is heavier reading than the McCollough, but also has numerous examples with explanations. While it gets somewhat more technical than the McCollough, it is well worth looking at, and clarified for me some questions on how to shoot and process HDR that were not answered (or in some cases, even raised) by the McCollough.
For me, the two books are a one-two punch that allows me to believe I know what I am trying to do and how to go about it concerning HDR, and my own examples are improving. For people who like to think about what they do when they make HDR photographs, and also want concrete guidance beyond the cookbook approach, I would consider both of these books essential.
I believe both of them can be perused on Amazon's See Inside This Book capabilities.