For HDR, keep aperture and ISO constant and bracket by changing shutter speed. That preserves depth of field and keeps the scene rendering consistent between frames.

Aperture Priority is a good choice if your camera’s auto exposure bracketing can fire a quick sequence (for example -2, 0, +2 EV). That’s often the easiest way to do it.

Manual mode is useful if you need more frames or a wider exposure range than your camera’s bracketing feature allows. In that case, set the aperture and ISO once, then change only shutter speed between shots.

A few extra tips:

• Use RAW if possible; it retains more image data for HDR processing than JPEG.
• Avoid Auto White Balance if shooting JPEG, so color stays consistent across frames. With RAW, white balance is less of a concern.
• Watch for very slow shutter speeds, since motion blur or subject movement can cause problems in HDR merges.

So: Aperture Priority with auto bracketing for convenience, or Manual if you need more control. In both cases, vary shutter speed—not aperture.