I detailed my HDR workflow someplace else here. Search should find it. I don't really use Photoshop though, it's just a bit too technical for me. It's undoubtedly the best though. You won't get good results from jpegs though, that's a fact. Sure there may be the occasional hit but the misses will far outweigh them. There just isn't enough latitude in a jpeg. At least that's what I've found.
That's not to say that RAW is strictly necessary for the conversion as shooting in RAW and converting to TIFF yields virtually identical results. Have a go with jpeg by all means, it will teach you the basic principles and it is good fun, but you just won't get really good results.