Good to know
These are all small things I have learnt through my HDR life full of reading, watching tutorials and mostly making photos and post-processing them, with lots, really lot of experiments.
Same Aperture, different shutter speed, this is the main rule when shooting HDR. The depth of field is a personal decision based on the subject you make the photo, of course. But always remember to keep the aperture (F-Stop) consistent, meanwhile the shutter speed can change to capture the pictures with higher and lower exposition. To make life easier keep the AV(Canon) or A(Nikon) value constant (decide your F-Stop) and leave the camera selecting the right shutter speed when bracketing. Alternatively you can do all Manual.
AEB (Auto Exposure Bracketing), this is the first thing you want to learn in your setup, when starting shooting HDR. This allows you to make three or more photos, one with the decided exposure value (EV) and the others with an higher/lower EV. The combination of these photos will give a much higher range of brightness levels and details that the 0EV exposure would probably miss.
HDR allows better photos also during the day. This is true, the over and under exposed (-2EV, +2EV as an example) photos will give you more details in the final picture than a single 0EV photo. This comes more evident during the day, when the sun is high in the sky and the shadows are really dark. Said that, the sunset and sunrise is still the time where you can have the best shots, no question about it. And remember that photography is not only HDR, and during these first and last hours of the day you can make non-HDR photo that would not be possible otherwise, with the same end result.
HDR from a single photo. Yes you can do it, however the end result depends on the camera you are using. Reading the technical description of your camera you may see that when you take a picture in RAW format (important), the file may keep information for an higher/lower EV. The HDR software takes this information to process the single photo as actually three different photos. Does it mean that 1 photo is enough? Not really. Try to process an HDR photo using a single shot or 3 shots and you will see the result.
Tripod is not essential, although highly suggested. If you think you have a great HDR composition in front of you, than try to take the 3+ photos keeping your camera as steady as possible. Always look around you, you may use a pole to help, or a fence, always check around. In any case the tripod, of course, make your life easier, but do not stop making photos just because you do not have 100% of your gear.
Windy day is always an enemy when shooting. With HDR is even worst. You organise your tripod, you are than able to take 2 pictures, but a gust moves your tripod slightly, what a shame. Back, another try, same result. Try to put your body between the coming wind and the camera if possible. The tripod quality plays a big role here. If still no good results, you can sometime work it out in post production. Use one of the photo, create a copy and increase/decrease the EV. In doing that many times you will have lots of noise. Try to reduce that in the source photos with software as Dfine or Lightroom. Run your HDR software again. If still not happy with the result, try once more the process….or go back to the same site for another shot, if possible.