Can someone explain me in a simple way what dynamic range is ?
And what a higher dynamic range means practically ?
More colors, more contrast,...  ?

It´s all about the capability of the sensor (or film) to register at the same time details over a range between the light and dark areas of the scene.
a narrow dynamic range means that you can register only a small range of light intensities.
a large dynamic range means that you can register a broad range of light intensities at the same time.

for example: take a picture inside of a house trough the window on a bright sunny day.

a low DR sensor can take only small differences on the range of light intensities and things out of that range can get pure white or black (without tonal gradations A.K.A without detail) so your picture will look with detail on the inside and a solid white window or... with detail on the outside but pitch black inside.

a high DR will let you get on the same shot detail across the entire tonal range and more likely let you get detail on the darkest and the more illuminated parts of the scene.

all cameras have physical limitations respect to DR but as a rule of thumb, the larger the sensor the widest the DR.

as a general rule too: in photography the standard light intensity changes are measured in f-stops. a change in one f-stop is equal to double or half the light quantity (so its represented by powers of two)
the more powerfull digital sensors can register about 12 f-stops of useful DR. (on medium format backs)

also is important to note that DR is a physical property of the sensor and the highest DR value for a sensor is acquired only at its base ISO. as you force a higher ISO, the signal produced by the sensor is amplified and this has an effect on the DR you get: the higher the ISO, the lower the DR for a given sensor.

it´s important to note that DR and the A/D conversion are two separate things. when you get A/D conversion at a specified bit depth what you have is how fine are you separating your tonal gradations. as more bit depth is given by the A/D converter, the finer the gradations for the DR of your sensor are made.

Thx guys !

@tadeobiologo : very well explained. Even I understand it now !  :)Thx !

Think about it this way, dynamic range is the things that every other camera picks up that your PEN blows out.