In camera HDR is gimmicky, but it does give you some ability to tame a poorly lit scene if you're shooting jpg's and have no time, ability and/or software to correct it after the fact. For example, someone in the kitchen on a bright day. Without flash you're going to get either a dark room or a washed out window, both yielding a result far from the most desirable. Use it and you can at least get a little something from the window besides whitewash.
Technically HDR, but only scratching the surface. There's so much more to it - some of it too much more. But you can say that about almost any type of photography. It's like the corkscrew on your swiss army knife when you don't drink. Chances are you never need it, but one of these days you could be really happy that it's there.