It helps to know the dynamic range of your camera. In my own case, my T1i has a reported dynamic range of about 11-11.5 stops (
T1i - 500D Dynamic Range measured - FM Forums,
Dynamic range and noise source - DxOMark), although in my own testing, I get an effective range of about 7-8 stops, with the upper end being about 3-3.5 stops above the "normal" exposure, and the lower end being about 4-4.5 stops below the normal exposure. This means that if I don't want to blow out a highlight, it needs to meter no more than 3 stops above the "normal" exposure. By the same reasoning, if I want to retrain some detail in the shadow area it should be more than 4 stops below the "normal" exposure.
In practice, I would use an incident meter reading to know how much light I have to work with, and with the spotmeter in the camera I'd check the readings of both the highlights and the shadows. To make the following discussion easier to follow, let's assume the ISO is set to 100, and the aperture to f/8. Let's say the highlight detail reads 1/1000 sec, and the shadow detail reads 1/15 sec. That gives me a scene dynamic range of 6 stops, quite comfortably within the dynamic range of my camera. Knowing that the upper limit of my camera is about 3 stops, I'd set the overall exposure at 1/125 (f/8, ISO 100), and I know that both highlights and shadows would be within the dynamic range of my camera.
Let's say, however, that I had a scene with a higher dynamic range. Say the shadow detail meters at 1/2 sec. That's 9 stops dynamic range difference, and I cannot get both highlights and shadows into one exposure. Now it makes sense to use HDR as I can capture in the first exposure the highlight detail (say at 1/250 sec), the midrange with a second exposure (say, 1/60 sec), and the shadow detail with a third exposure of 1/15 sec).
Let's think of an even more extreme scenario. You're shooting an interior scene with deep shadows, and an open window to a bright sunny day. In the bright sunlight, you have a light clay statue that you want to show with detail. If you spot-meter it, you may get something like 1/2000 sec. The deep shadow inside the room, may be at 4 seconds. This is a dynamic range of 13 stops. There is no way you can get all of this in one exposure. But if you could capture the dynamic range with exposures at 1/250 sec, 1/60 sec, 1/15 sec, and 1/4 sec.