When I take multiple images for an HDR image I prefer to take the different exposures manually instead of using auto bracketing. I always start with the highest exposure. The highest exposure should be a representation of the shadows. This does not mean that you have to listen to the light meter in your camera. It just means that the shadows should look like you want them to look. In most cases they should appear a little bit darker. Look at this image:

It is more or less correctly exposed for the shadows in the foreground but I find them to be too bright. So I start with the following image as my highest exposure instead since I much prefer the look of the darker areas:

This image is my base layer and from there I work my way down. I then take the next image one stop darker:

The third image is again one stop darker. I repeat this process until I have a good representation of the highlights. Most of the time I check if the highlights are still blown (most cameras have a function to display blown out areas of an image). If they are - I take another picture one stop darker.

Depending on the contrast of the scene I end up taking 3-6 images. I rarely use auto bracketing. I only use it when Im afraid objects in my scene could move too much in between my shots. Then I fire a quick burst of five images. I find five images to be enough in most cases. Lets look at the final HDR image:

As you can see the shadows are taken from the brightest image. An brighter image would not have helped me out here. Lets look at another scene with more contrast. Again I start with setting the exposure for the foreground:

I then take images each one stop darker until I like the way the highlights look. In this case I ended up taking 4 shots.

As you can see even in this high contrast situation 4 images are enough. I wanted to show this example because auto bracketing could have helped me this time to get my images faster in one row to prevent the windmill from turning too much. But you could also take care of the ghosting of the windmill in Photoshop later on. Take a look at the result:

Since the highlights look good there is no need for an darker image. And since the foreground looks good there is no need for an brighter image. So start your images with an exposure for the shadows (or for the highlights and go the other way round) and work your way to the other end.