I was recently reading Uwe Steinmueller's Canon 1D Mk III experience report where he talks about using the camera's fast 10 fps rate to do handheld HDR. Having just received the camera before leaving for Alberta, I tried doing handheld HDR a few times during our trip through the mountains. A quick side note, the new UI and menu layout system in the 1D Mark III is fantastic, I am able to select how many shots to bracket, turn on highlight tone priority (if needed) and switch high speed continous in under 2 seconds. The new 40D with the same UI and reasonably fast 6.5 FPS should be able to produce similar results at a much lower price tag.
Many of my handheld HDR attempts seemed to have turned out, what hasn't worked well is Photoshop's tone mapping, so I've been using Photomatix. I don't remember where this was taken and I could have probably gotten similar results using shadow/highlight in Photoshop but I am still pleased with this result.
Technical Specs: Canon 1D3, 17-40 @ 17mm, f/8, ISO 400.
UPDATE: High Speed HDR article at OutbackPhoto.