This was taken outdoors in a forest preserve outside Chicago, just before sunset. It was an immensely humid evening and hazy.
This was shot with a Nikon D200 DSLR and Sigma 10-20mm f4-f5.6 EX HSM lens. Also, a 4-stop Hitech Graduated Neutral Density filter. Tripod was a Manfrotto 3021BN with a Manfrotto 322RC2 grip action ball head.

This is HDR made from 5 bracketed photos, 1 EV apart. I used aperture priority with an aperture of f/18, and shutter speeds ranged from about 1/50 to 1/200 second (exif data gets lost when merging into HDR). ISO speed was 400, and always shot in RAW format.
First the 5 bracketed photos were synchronized in Adobe Camera Raw. I gave them a consistent white balance (pretty warm) leaving everything else unchanged.
At this point they are converted from Nikon RAW .NEF format into TIFF (to retain the range of information in each photo, since TIFF is 16-bit and JPG only 8-bit). I merge them into HDR using Photomatix Pro and apply Tone Mapping there as well. I adjust settings carefully to present a realistic scene, consistent with what I saw with my eye. Cameras are not perfect devices and cannot capture as much light information as the eye sees. This gap in information can be decreased with the careful use of HDR.
Once I am satisfied with the merged and tone mapped image (usually this may take an hour or more) I export it as TIFF (again, to retain as much information as possible). Then I edit this TIFF file first in Adobe Lightroom where I finalize white balance, curves and vibrance, and then I export it to Photoshop (whatever the latest version is) for any final adjustments, sharpening and resizing and exporting as JPG. In total, I may spend several hours working with one HDR. Sometimes these several hours are spread across a few days since the processing I do one night I might not be happy with the next day, then I redo various steps of the process until I am fully satisfied.
My method for doing HDR is quite standard for me now, the hardest part of this photo was the particular location and weather conditions. I had a very delicate balance on the rocks and was never more than just a simple slip from falling into water or smashing my camera on rocks. The humidity was also a challenge because I was drenched, I had to wipe my face every few minutes. There were also some people fishing and watching me, so staying mindful was a tricky task.