Recently there was a comment regarding my HDR picture on facebook are not dramatic enough. Especially the sky and shading on cloud. Perhaps for some people HDR is just meant to shoot the cloud or sky. But for some is to bring out more DETAILS on the background. Another simple reason is just because your camera like point and shoot or even some entry level DSLR doesn't have good dynamic range. Just consider you are shooting at the below scene:
If you consider shooting with a lower exposure you can see the sky and also the far away building. Basically the sun shines at further and the building nearer are under shadow
This picture has better visual at the shadow, but further away you are starting to lose the visual of building because of overexpose.

And lastly above, you should see the much over exposed picture, then we have the final HDR picture. It doesn't look so dramatic for me. But overall, when the image is HDR, it really gives us a better overall view. These 3 pictures are taken using point and shoot canon SX200 IS