[Wall-E]

Here is an article from HDR Photography Pro on:

Bracketing Images Like A Pro: Preparing Properly For Multi-Image Shoots

Any comments or suggestions?

One of the *BIG* items he barely touches on, is that the f stop should be the same across all the exposures. You want the depth of field to be the same so that the HDR processing will be successful.
(BTW, you want the same thing when you do panoramics)
Change the shutter speed or ISO, but not the aperture.