Here is a list for improving your HDR shots:
Use a tripod. This goes obviously for JPEG shooting as well for RAW. Sharpness is what is all about!
When shooting JPEG, auto-bracket and shoot with a remote. This will prevent the camera from moving.
Try to shoot at the lowest ISO possible. This will reduce the
chance of getting ISO noise in the image. In HDR this is fundamental as
noise tends to increase in the tone mapping.
When shooting moving objects, shoot in RAW mode.
If you want to shoot a still subject and there is movement in the
background, shooting in JPEG can produces great effects. Give it a try!
(This could also be done using long exposure on RAW mode)
Metal subjects tend to give great photographic results.
Go for subjects with big textures and color differences.
3 auto-bracket images will produce a very good HDR image.