With great controls comes great responsibilities. Unlike Point & Shoot users who often have the benefit of a Panorama Assist mode, DSLR users have to control everything themselves. This is more work, but allows for greater flexibility while shooting images for a panorama.
The basic principle of capturing a panorama is to ensure utmost consistency between images. This means that focal-length, focus, aperture, ISO, shutter-speed, exposure, white-balance and image parameters all have to match exactly. Other than focal-length, these settings usually have both automatic and manual modes. The key is to lock each setting before shooting. Let’s go over each one:
If you are using a prime lens, then there is nothing to take care of for the focal-length. If you want fewer shots, then zoom out as much as possible. If you zoom in though, more shots will be required but the resulting panorama will have more resolution and can be printed larger. For web use, it rarely matters.
Focus should be set to make sure your subject is entirely in focus. If you are shooting a distant vista, then you can usually go to infinity. Otherwise, you can maximize focus by setting your lens to its hyperfocal distance. Once focus is set, switch to manual (MF) mode. There is usually a slider on the side of the lens or on the camera body next to the lens mount for that.
There are two ways to lock aperture, ISO and shutter-speed. One is to go to Manual mode and set each one yourself. As a general rule, you want a small aperture without going beyond the diffraction limit of your camera, so somewhere between F/11 and F/16 for a recent DSLR. ISO should be kept as low as possible, particularly is shooting from a tripod where camera shake is not an issue. Then, set the shutter-speed to get the right exposure. Take some test shots from the brightest area of your subjects to make sure nothing will be blown out.
The automatic way is to point the camera at the brightest area in the scene and press the AE-L button to lock exposure. Depending on your camera and how it is configured, you may have to hold that button the whole time or press it once before and once after all images for the panorama are taken.
White-balance is locked by any setting other than Automatic. Ideally, you should use Custom White-Balance which is available on all DSLRs. Kelvin or Preset WB work well too. Image parameters are generally locked except for certain automatic features like Adaptive D-Lighting (ADL) and Dynamic Range Optimizer (DRO) on Nikon and Sony DSLRs, respectively. If your camera supports these, use the menu system to turn them Off.
Once everything is locked as instructed here, your DSLR is ready to capture images for a panorama. Just make sure to keep the camera level and leave plenty of overlap between frames while doing so.
More information on how to create a panorama photo is found at Neopanoramic including panorama software and panoramic photography gear like heads, tripods and leveling bases.