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In order to get great HDR images, you want to collect a series of images that vary based on exposure—from really underexposed to really overexposed. You can achieve that goal in a variety of ways: changing aperture, adjusting the shutter speed, or adjusting your ISO. You want to make sure you shoot these images in Aperture Priority mode. Aperture Priority mode controls how much depth of field you have in an image. A shallow depth of field (f/2.8 for instance) could have an element in focus and the area immediately around it out of focus. An f-stop of f/11 would keep more elements in the area in focus.