Once Lost Coast is released, Valve will include HDR in future product releases. For instance, Day of Defeat: Source will feature HDR lighting for all of its levels the day it is released.
One of the fundamental pieces of HDR rendering lies in "dynamic tonemapping." In the Source engine, by varying the exposure of a scene based on how much light is visible, we can accurately simulate a range of brightness that is beyond what a computer monitor is physically capable of displaying. A real-world example of this effect happens every time you walk from a very dark room to an outdoor area with very bright sunlight -- your eye takes a few moments to adjust to the variance in the amount of light hitting the retina. If you have a video card that supports HDR, you'll be able to see this in the engine when Lost Coast is released.
Static screenshots of HDR fail to capture this effect, but if you download the HDR trailer you can watch it happen in a scene from the Lost Coast. Note that the left-hand side of the screen is running in Fixed Aperture (non-HDR) mode, and the right-hand side with High Dynamic Range.