HDR is a technique used in digital photography to create an exposure that is more like you see with the human eye or a balance of highlights, mid-tones and shadows. Wiki defines it:
'High-dynamic-range imaging (HDRI) is a high dynamic range (HDR) technique used in imaging and photography to reproduce a greater dynamic range of luminosity than is possible with standard digital imaging or photographic techniques. The aim is to present a similar range of luminance to that experienced through the human visual system. The human eye, through adaptation of the iris and other methods, adjusts constantly to adapt to a broad range of luminance present in the environment. The brain continuously interprets this information so that a viewer can see in a wide range of light conditions.'
I have experienced some photographers talk about HDR as if it was a religion. I'm going out to shoot HDR, I only shoot in HDR, etc. HDR can be archived several ways, in camera, post editing, HDR speciality software. HDR is not a over saturated image, its not. Some of these software programs offer several special effects that include over saturation, but HDR simply put is a balance of mid-tones, highlights and shadows, that all. It is a style or technique not a goal in life or a religion.