The advantage of doing the HDR blend is that it increases dynamic range in the photo:
http://www.cambridgeincolour.com/tutorials/high-dynamic-range.htm
In a shot where there is a really wiiiide range of brightness (ie. the bright setting sun + shadows and less-lit areas), the camera has trouble recording this range.
So if it tries to record the details in the highlights, there ends up being no detail in the shadows (they turn to black).
If it tries to record the details in the shadows, there ends up being no detail in the highlights (they turn to white).
If it tries to record the details somewhere in the middle, you lose BOTH shadow and highlight detail.
HDR blending is basically taking multiple pictures at different exposures and then blending them together to make a single picture that has more dynamic range than the camera can take in a single picture.
Just for example:
The entire dynamic/brightness range of the scene is this:
|----------------------------total range----------------------------|
These are the ranges that your camera takes:
Picture One (EV -1, underexposed by one stop)
|----range A----|
Picture Two (EV 0, "properly exposed" according to your camera)
..................
|----range B-----|
Picture Three (EV +1, overexposed by one stop)
......................................
|----range C----|
In HDR software you then blend all these together so you get a picture with range A + range B + range C
|----------------HDR range-----------------|
Note that this range is wider than the range of any single picture the camera can take. Also note that this range is still shorter than the total range of the actual scene. To make your HDR range even wider, you can add more pictures at different exposures (ex. -2, -1, 0, +1, +2
OR -3, -2, -1, 0, +1)