High Dynamic Range (HDR) photography is a technique that captures multiple images of the same scene while using different exposure values and then combining those images into one single image that shows the range of tones within the scene. This technique is most commonly used in landscape photography to capture all the details.
To get the HDR effect, you need to capture a photo with full highlight detail and a photo with full shadow detail, as well as additional photos with exposures in between the two extremes. To do this, you will keep the same aperture and ISO, but just change the shutter speed between photos. After you are done taking the photos, you can combine them in Photoshop to get the most amount of detail in the final image.
This two minute video explains HDR and how to achieve it in Lightroom:
HDR on Phone Cameras
Smartphone cameras also have the ability to capture HDR images and it is easier! Instead of taking multiple images and merging them together after, your phone can do all of this for you with just one click, as long as your HDR mode is on.