HDRI Labs has a great tips and tricks FAQ section which covers everything from gear including what kind of lenses, cameras and tripods work best, to shooting on a chrome ball vs. a glass ball… all really informative stuff from Professor Kirt Witte who teaches courses on Visual Effects and HDR Imaging at the Savannah College of Art and Design.
Everything you wanted to know about taking, building and using HDRI’s can be found in the The HDRI Handbook: High Dynamic Range Imaging for Photographers and CG Artists, which i find to be an excellent resource.