If you shoot Canon, and your camera is supported by current builds of Magic Lantern, use Magic Lantern's dual-iso mode.
Magic Lantern is a firmware add-on to Canon's DryOS. You load it onto the memory card in the camera, and it runs from there. It does not alter the firmware in your camera, but does require a specific version of firmware to run correctly, so only supported models with supported firmware versions will work. (See also: What are the risks of using Magic Lantern?).
The dual-ISO module is designed to do single-shot HDR or HDR video. The software samples the sensor at two different ISO settings by alternate pairs of lines. You get a striped output file. The lower ISO setting is typically the one you'd use normally, while the higher ISO setting is used for noise reduction in a manner similar to Guillermo Luijk's Zeronoise algorithm. Since noise is a limit on dynamic range, reducing the noise increases the dynamic range. You lose half the vertical resolution in the highlights and shadows (it's interpolated back on midtones) and there may be moire and aliasing in the deep shadows, but you gain roughly 3EV if you use a 4EV ISO interval.
When you use the dual-iso module, you can adjust the interval between the two ISO settings, but you are limited by what ISO levels your camera can do.
You shoot the image, and then download the RAW file. You then need to run the file through cr2hdr (see: the C source code), a utility that interpolates the lines of data back together to create your HDR image. If you aren't up to compiling cr2hdr :), there are binaries and GUIs, etc. available. I prefer the Lightroom plugin.
The DNG output from cr2hdr will look like the image is underexposed by your iso interval. However, pushing it (increasing the exposure) in post will show very little to no noise.
Because only a single shot is used, there is no chance of ghosts or clones, and this technique can also be used for video footage.