One thing a lot of people forget about HDR is you are trying to adjust the dynamic range back to what the human eye can see. Camera's dont have as good a dynamic range as the human eye, but using exposure bracketing and HDR you can get that back, but equally, you can go well over it, which is when you get those un-natural looking images. As Chippy says, dont go mad with the spread of the bracketing otherwise the range is too great. You want it to look how it does through the human eye
Just a shame I cant do this underwater as you can get some amazing shots down there when diving, but a case for my SLR costs over £1000 then you need lense extension tubes and stobes, far too expensive