It was a pleasant surprise when Apple added a HDR mode to their own camera app on the iPhone 4, but it's not real HDR. If you really want to take a good high dynamic range shot using your iPhone's camera, you'll need the $2.49 Pro HDR.
To get real HDR shots, you need to take two photos - one overexposed and one underexposed - and then stitch the good parts of each one together. Pro HDR does just that by taking two successive photos, and then automatically combining the good bits.
But where Pro HDR steps up is the ability to finetune the image. You can manually adjust brightness, contrast, saturation, warmth and tint on your HDR photo until it truly takes advantage of the properly exposed parts of both photos. The image updates live as you adjust the controls as well.
The app also has the ability to add geolocation, email full-res images and add HDR to images in your photo library. If you ever take photos using your iPhone, this app is a must-have.