High Dynamic Range (HDR) combines two exposures to form a single image that captures a wide range of tones from shadows to highlights, even with high-contrast subjects. HDR is most effective when used with matrix metering (0115; with other metering methods, an exposure differential of Auto is equivalent to about 2 EV). It can not be used to record NEF (RAW) images. Movie recording (059), flash lighting, bracketing (0132), multiple exposure (0195), and time-lapse photography (0207) can not be used while HDR is in effect and a shutter speed of A is not available.
Do not settle for mediocrity. Rather strive for excellence for even in that attempt lies a measure of success.
Exactly why an on-camera HDR feature is useless. If you want to do HDR, make the necessary series of shots in raw and then use either HDR Efex Pro, Photomatix, Photoshop's own HDR merge feature, or one of the other more recent HDR software packages. There's no way the camera can do HDR effectively.
But. . . Be careful. Some horrible stuff comes out of HDR from children of all ages who can't restrain their urge to overdo the tone-mapping.