What I did:
The result, while still crappy, is a nice proof of concept as it is considerably better. I used to think of HDR as 'cheating', but now I think that really it is just compensating for the lack of dynamic range of the camera itself. The actual sunset looked much closer to the HDR image to my eyes than the other three. Our eyes have an incredible dynamic range compared to a digital camera.
Another example ... this time I cleaned the window first :) I used Picturenaut for these, which is a free program. I tried my technique and it worked pretty well except that I was using one of those flexible tripods and so I still moved a little bit between shots. Picturenaut knows how to line up the images, while my simple technique just stacks one on top of the other resulting in image-destroying blurring. I like how my technique seem to show the foreground better. In Picturenaut the foreground is basically black, whereas in mine you could actually see the houses. However, Picturenaut's ability to line up the images made its end result superior by far.
Overall HDR is great, and again I don't consider it cheating since cameras have a very narrow dynamic range which does not match what our eyes see. One way to compensate is to control the lighting, (which is what most professional photographers do when they can). Essentially this flattens the real range to be within the range of the camera. Another approach is to take several images at different exposures and use software to put it all together. One day cameras will come with HDR capability built in and of course the native sensor dynamic range will continue to improve. Until then, manual techniques combined with software is a good approach.