It depends on how fast the subject is moving and how quickly your camera can take the shots (i.e. frames per second). Most HDR software has some ability to correct for moving objects. The other thing you can do is process the HDR image for the background and then bring the photo into Photoshop and bring in the moving object from a single frame (you may still have to tonemap it to get the right look). This can be very labor intensive, but if done correctly can yield excellent results.
If you're not dealing with a huge dynamic range, then I'd use a single image (preferrably shot in raw format vs. jpg), and make two copies of that image, and reduce the exposure in one and increase the exposure in the other, thereby giving you your three images which you can pull into your HDR software. Now, if you just want that "HDR look", you don't even need multiple photos, because that look is actually a result of the tonemapping, which is done after the separate exposures are merged.