I use Photomatixm which Ninjatune recommended for me. I'm pretty happy with it, but maybe there are better software out there.
I don't really like those hardcore HDR images at all. I'm more into subtle HDR, and Photomatix is a great application for that:
This image is made from three unique raw-files.
This one is made from a single raw-file.
This one is an JPG-image that I actually did some minimal work on in Photomatix. Although it's hardly noticable, and I honestly don't think it made any difference whatsoever.
By the way, I think there are some tutorials on Flickr regarding HDR images from JPG-photos (ie. non-raw). Don't expect the quality to be that phenomenal though...