Advantages of Using HDR Images
Realistic Lighting and Shadows
HDR Images can be used as a light source to illuminate a CG scene. These images have higher range of luminance levels, therefore they give accurate lighting and cast believable shadows.
Metallic and glossy materials created in 3D, need something to reflect. Using panoramic HDR Images as environment map, glossy materials gets a world around them to reflect.
Instead of setting up lights individually and manually, you can achieve better and realistic results by lighting the entire scene with help of a single HDR image.
How to Use HDR Images in Blender
In the World settings and in the Surface panel, click Use Nodes. In Color option select Environment Texture. For more details, see the screencast above.
Free HDR Images
You can download free HDR Images from HDRI Haven, a place with 100% free HDRIs, available to everyone with no account or sign-up required.