I have to confess to a bad habit: shooting handheld HDRs.
About 2/3 of the time I get away with it, and I can align my images, but experience has taught me that merging them in Photoshop is far more reliable than merging them in anything else.
Once I have an .exr from this I tend to tonemap it in both Photomatix and HDR Expose, and then layer them together in Photoshop and pick and choose what I like from each layer to produce the image that I further post process.
My problem with this process is that I often wish I could merge the sky back from one of my original captures to replace the mess (IMHO) that HDR tonemapping makes of clouds/skies.
The advantage of having the single merge from Photoshop, that the two different tonemapped versions will align perfectly, now proves a problem, because none of the original images exactly matches the .exr, because of my bad habit of shooting handheld, ie Photoshop has moved stuff around to align my images.
Many panoramic programs let you choose the image that is the 'reference' image for alignment, but Photoshop does not.
Does anybody know a way round this?