I've changed my HDR workflow recently and I'm very happy with it. I use CS5 merge to HDR and then save merged files as an exr file. I then open that file in Photomatix 4 and tonemap there. Finally I bring into LR and process the file with final touch up in PS if necessary.
The reason for this work is 1) PS does a great job of aligning and merging with very little grain, plus the deghosting feature is really nice; 2) I really like the way Photomatix handles tonemapping. I'm just not satisfied with PS tonemapping yet.
I know this seems convoluted, but I've been happy with the results and get the best of both programs. Sharp beautiful merges from PS and that nice tonally quality that Photomatix gives tonemapping.
Here's one that I did with this method. 3 shot HDR, handheld.
That's a nice shot man. Photoshop did do a good job lining these up. I never even considered shooting images to be merged, handheld.
MrCricket, nice job on holding back on the throttle. I have not yet gotten as good results with PS CS5 handheld, as I always have what looks like overlapping images. Yours is doubly great as you have birds and people in the scene without ghosting at all. Does PS CS5 really do that so well?