The common methodology in dynamical regional climate downscaling employs a continuous integration of a limited‐area model with a single initialization of the atmospheric fields and frequent updates of lateral boundary conditions based on general circulation model outputs or reanalysis data sets. This study suggests alternative methods that can be more skillful than the traditional one in obtaining high‐resolution climate information. We use the Weather Research and Forecasting (WRF) model with a grid spacing at 36 km over the conterminous U.S. to dynamically downscale the 1‐degree NCEP Global Final Analysis (FNL). We perform three types of experiments for the entire year of 2000: (1) continuous integrations with a single initialization as usually done, (2) consecutive integrations with frequent re‐initializations, and (3) as (1) but with a 3‐D nudging being applied. The simulations are evaluated in a high temporal scale (6‐hourly) by comparison with the 32‐km NCEP North American Regional Reanalysis (NARR). Compared to NARR, the downscaling simulation using the 3‐D nudging shows the highest skill, and the continuous run produces the lowest skill. While the re‐initialization runs give an intermediate skill, a run with a more frequent (e.g., weekly) re‐initialization outperforms that with the less frequent re‐initialization (e.g., monthly). Dynamical downscaling outperforms bi‐linear interpolation, especially for meteorological fields near the surface over the mountainous regions. The 3‐D nudging generates realistic regional‐scale patterns that are not resolved by simply updating the lateral boundary conditions as done traditionally, therefore significantly improving the accuracy of generating regional climate information.