How to get 9 shots in AEB on Canon 40D

Canon only implemented 3 shots in Auto Exposure Bracketing mode (AEB) on the 40D/50D. Even the 5D mkII has only 3 shots in AEB.
The rumors says that the 60D will have 9 shots in AEB, we'll see...

But 3 exposures is not enough if you shoot scenes with a lot of dynamic range and want to create HDR/Tone Mapped images. In normal situations it is enough with 6 exposures ranging from -3 ev to +2ev with a 1ev interval.
That can be achieved fairly easy using the exposure compensation dial. Here's how:

1. Use a tripod!
2. Use manual ISO, as low as possible.
3. Use 1/2-stop increments on the exposure compensation dial, not 1/3.
   
4. Set the AEB to -1 0 +1. You'll now see three markers in the display that shows the AEB value, to begin with it will show -1 0 +1.
   
5. Set the drive to 2 second (self timer).
6. Use aperture program (A). If your shooting landscape you'll properly want to use a small aperture like f/16 or f/22, maybe even smaller like f/32.
7. Frame and focus the shot.
8. Switch on manual focus so that the focus is the same in all 6 shots.
9. Turn the exposure compensation all the way to the left to get three underexposed shots, -3 -2 -1. The display will now show one marker on -1 and one blinking marker on -2 telling you that the third marker is on -3 :)
10. Press the shutter, wait those 2 seconds and let the camera shoot 3 exposures.
11. Quickly turn the rear dial to control the exposure compensation up to 0 +1 +2. That will be 4 ticks if you use 1/2-stop increments on the exposure compensation dial.
12. Press the shutter, wait those 2 seconds and let the camera shoot 3 exposures.
13. You now have 6 exposures at -3ev -2ev -1ev 0ev +1ev +2ev.

OK that will be sufficient for most situations, but if you shoot directly into the sun, you'll want more underexposed images. If you add another little procedure to the one above, it is possible to shot 3 more exposures fairly quickly:

1. Follow step 1-9.
2. Press the shutter half way down to read aperture and shutter speed for the -3 settings. That could be f/22 and 1/180 sec.
3. Switch to manual mode (M) and set the aperture to the same value that you used in aperture mode (f/22). Set the shutter speed -2 stops lower, that would be 1/750 sec. With a little practice this is done very quickly by turning the dial for the shutter speed four ticks (2 stops) to the left.
4. Press the shutter, wait those 2 seconds and let the camera shoot 3 exposures.
5. Switch back to aperture mode (A).
   
6. Proceed with step 10-13.

This will give you 9 exposures ranging from -6ev - +2ev, enough exposures to shoot directly into the sun :)

What you do with those 9 exposures is a whole different story, but they make the perfect starting point for some nice into-the-sun-hdr-shots :))