The lowest native ISO for your digital camera has the greatest dynamic range.

A RAW file keeps all that data. If you shoot JPEG, the data gets transformed according to your image parameters. To get the most dynamic range in JPEG mode you need to find which mode keeps the most dynamic range. This is usually one of the low contrast modes (Natural or Muted or something like that) with highlight preservation turned on (name depends on the camera model). If your particular model was reviewed at DPReview, they usually have charts showing the dynamic-range of each mode.

The above sets up your camera to keep the most dynamic-range but you can also maximize how much you capture:

• Avoid flare. Veiling flare occurs when too much light bounces around inside your lens and causes a drop of contract. Use a lens hood and avoid strong light sources in the frame or just outside.
• Choose the right angle. The same scene can show much more dynamic-range from certain angles. Usually the trick is to find the angle when the scene contrast is high but still lower than the limit of your sensor (except for Exposure Fusion and HDR of course). If the sun is behind you, a scene gets illuminated evenly for the most part which results in less dynamic-range because the shadows are behind your subjects.
• Avoid extreme apertures. This only makes a tiny difference but it's here for completeness. Wide open lenses get soft. This also happens past the diffraction limit. When that happens, contrast gets reduced cause a slight loss of dynamic-range in the shadows.