I watched a tutorial when I first learned HDR. This was the first "style" of processing I had learned. I was so confused after watching the video (it was a good video looking back on it, I was just so new it didn't help me much) that it didn't do much good. Over the course of several months I played around with the controls in Photomatx and afterward in photoshop (for fine tuning) and I now have a style that I like and appreciate. My best advice to you is to maybe watch or read a tuturial or two, but play around the controls and find something that suits your taste. It may take you some time like me to develop your style, but I think it is fun to learn on one's own.
Btw. I also recommend Photomatix.