HDR stands for High Dynamic Range and is a technology used to effect the highlights and shadows of the picture. With the HDR color support you'll see better contrast and color will be more vibrant, making games and movies more realistic.
Keep in mind that both your TV and movies/ games need to be HDR compatible, otherwise you won't see any difference.
As far as being worth it, that really depends on you. It's doesn't make a mind blowing change, but does make the picture more vibrant and colorful, especially if you go with a 4k display.