Auto Exposure Bracketing (AEB) is useful for capturing scenes with a high amount of contrast. When AEB is selected, the camera automatically takes three or more auto-bracketed shots each at a different exposure. Many digital cameras have an AEB option.
The most common method of using Auto Exposure Bracketing is to adjust the exposure to what appears best for the photo, and it will take three or more photos either side of the exposure you think is best, one slightly darker and one slightly lighter. Once combining the photos taken with different exposures, it creates a HDR photo, which is rich in detail in the parts of a photo that would be underexposed or overexposed by using the single exposure instead.
Below are examples of photos taken with Auto Exposure Bracketing (AEB) and merged to become High Dynamic Range (HDR) photos, allowing the details from every bracketed exposure shot to be seen:
Example with one of my landscape photos:
Three photos at different exposures
Merged HDR photo: