Yes. You are best off using a RAW, as it already has more dynamic range than a JPG - they're generally 12 bit, I think, rather than 8 bit. Use RAW conversion software three times - making JPGs of high, medium and low exposure - and put them together again. Tonemapping can be an effective filter effect when applied like this.
It's never going to be anything like the results from multiple exposures, though. The 'point' of HDR is to bring out detail in highlights and shadows simultaneously - and this is still limited severely by the sensor.