Figures 2 and 3 of <A HREF="http://arxiv.org/abs/1206.2459">Rényi Divergence and Kullback-Leibler Divergence</A> show the Rényi divergence $D_\alpha(P||Q)$ for fixed $Q$ as $P$ varies over a sample space containing two or three elements.

<IMG SRC="http://ilorentz.org/beenakker/MO/Renyi.png" WIDTH="400" />