This is an interesting camera feature that I was wondering if it would come up soon. After all, HDR is supposed to make up for properties of the image sensor that are considered limitations when compared to the human eye. OK, in people's minds the term HDR is also associated with "over-processed images", but I'm sure that's not what a camera vendor would strive for. So far it involved some special software and/or tedious post processing.
Now it seems like the time has come where cameras start to make the HDR photographer's life easier. From what I read so far, the Pentax k20 and K200 are the first two digital SLR cameras that can compute under- and over-exposed images out of a picture and combine them with a built-in HDR algorithm.
The little Ricoh CX1 (which is supposed to come out in March) is the first compact camera with such a feature. It actually has two different ways to create HDR images: Either from one shot, or from an exposure series.
I'm curious what these first-generation built-in HDR features will be able to produce. The Ricoh has a huge zoom range (28-300mm), and interesting sounding things that I have never heard of, such as "Multi-Pattern Auto White Balance" and "Multi-Target Auto Focus". I'll keep an eye on this one.
Here are my sources:
About the Pentax SLRs.
About the Ricoh CX1.