Apparently the HDR mode is only 2 shots merged, one over and one under exposed. Seems like they did this half-way, I would have upgraded from the D3100 if it was at least a 3 shot capture.
Kind of sad considering there are several Canon Powershot P&S models that offer 3 bracketed shots, and they're all $400 cameras or less. Seems like Nikon is kind of missing the boat on HDR.