I rarely find the need to create HDR images these days. I have much better success with well exposed raw files edited in software with strong local adjustment capabilities and good noise reduction. I personally use Photolab 4 Elite.

Good local adjustment control on a raw image can pull shadow detail from various places in an image without affecting the overall image. At the same time It can also bring out much more detail in the sky and reduce overly bright areas, again without affecting the rest of the image.

Since pulling detail from shadows can increase the noise in those areas of the image, a good noise reduction feature is important.

For me the end result are much more natural looking images. While, of course, some programs are much better than others for creating HDR, many if not most HDR images don't look natural to my eyes.

The main limitation of shooting multiple images for HDR is the requirement for a completely static subject. Even a gentle breeze or any movement of an animal or other object will be very obvious when three to five images have to be captured and overlaid.