The effect in the halo screenshot is never HDR lightning. And HDR isn't a texture too. HDR is a technique that... let's say, it makes the camera eye-like. eg, if you look from a bright outside level into a more or less dark cave, it appears totally black. In contrast, if you're in the cave and look out, you see the outdoor level absolutely white for a moment, and after some seconds you begin to see something outside, but the cave gets darker. Let's say, HDR just increases the range of lightning :P

@NMS: I don't know what kind of shader that is, but if the xbox can manage it, it can't be too complicated