Rather than what one might expect, the most important thing to make a HDR is doing a good shoot, the distinctiveness of an image created with this technique is not only achieved with a good post-processing but with photography itself.
So, in order to capture an image that would be a good HDR photo, we have to imagine it at the end of the editing process. For this reason surreal or melancholy shots are preferred. I highly recommend not to take photographs in the hours when the sun is high, rather prefer the early hours of the day or the sunset, when the light is constantly changing and when you can take the full details of the clouds in the sky.
To shooting HDR try to be as accurate as possible, the more clean you are, the few will be the differences between images and the more your HDR will have the desired effect.