Basic rundown of what HDRI is and how to make it in Photoshop:
http://www.luminous-landscape.com/tutorials/hdr.shtml
In Depth and explanation of how to use Photomatix (and explanation as to why it's better than Photoshop):
http://www.naturescapes.net/072006/rh0706_1.htm
fnaqzna, I think you should look into purchasing at least one Neutral Density filter. It will really make your colors pop for all of the landscape shots you've been doing. If you have other cameras, you may consider a square/rectangle drop in filter system because then you won't have to buy multiple threaded rounds of the same filter for different cameras.
An example of works that use NDs and ND grads is a person named pestilence on deviantart. Check out his stuff (and read the info which describes all the filters and EXIF data)
http://www.deviantart.com/deviation/48246990/