Yeah I've created some hdr images and its just like LauriePriest says.
Best option is to go to a garden centre where they usually sell big silver sphere ornaments for the garden. They are very lightweight (hollow) but dont like being bashed about.
The bigger the better as well as not all cameras have super zoom to frame the sphere in well. The further away you are when photographing the sphere at the different exposures, the less you are actually in it too.
Instructions on what to do from there (and software to make the hdr images) are at:
You'll want the free version (v1)
Have fun and I hope you pick it up and create some hdr images that we can all use
Edit: gazing spheres seem to be one name for them and an example link on a gardening site is here: