Here’s a link to some really cool HDR photos of manhattan on flickr: http://www.flickr.com/photos/automatt/sets/72057594091674928
I imagine the use of HDR in anything fly fishing related is pretty limited, as subjects (water, fish, and people) are moving. For gear, flies, and other still subjects it would be interesting to do.
From my understanding, the beauty of HDR is that it allows detail in shadows while preventing highlights from being blown out. Doing it on any recently modern computer shouldn’t be too taxing, the only investment would be the time to manually take several different exposures of a subject.
The explanation of HDR as a grad filter applied to any part of a photo is probably the best way to describe it.