The essentials are that the lighting should stay the same, the aperture should stay the same and the shots should line up perfectly, so a tripod is needed.
Here's an example that shows how the immense variation from dark shadows to bright highlights can be brought into one shot:
![Image](http://i240.photobucket.com/albums/ff250/johnriley1uk/003-Ripon-Cathedral-1.jpg)
Ripon Cathedral, Pentax K10D, SMC Pentax-DA 12-24mm lens, 5 exposures 0.5 stops apart