If you want to see how I made this (and how you can too!), visit my HDR Tutorial. I hope it gives you some new tricks!
Many people ask about my technique, and all the details are in the tutorial above. Others just come for the Photomatix discount code that they gave me since I am such a big believer in their product - that Photomatix discount code is "stuckincustoms".
The biggest problem was people walking in front of the tripod, totally aloof to my HDR quest. Since it takes five minutes to explain HDR to people, it was not efficient to stop everyone in the area and give them a short dissertation on why it is important for them not to get in front of my tripod...
Also, there is a nice gal that wrote a dissertation about this photo at Washington University - you can read it here: stuckincustoms.com/a-dissertation-on-my-times-square-photo/