Once you have the pics, you can also stitch them together pretty easily with Photoshop. My biggest problem with playing with panoramas is when I go to stictch them together, I will have all different levels of contrast even though I make sure that the exposure value is the same with each shot. Inevitably though, I will have 5 or so pics and 5 different levels that I have to adjust for a while until it matches in the panorama shot.
One thing that I've found useful is to set it up as mentos and others have suggested, and take a few shots of each shot with different aperature values to have more to choose from. I have been doing this in manual mode with my sony mvc cd500, perhaps, I should be setting it to aperature priority instead to get a more consistent value.
Good luck, they really look nice when you're done.