I made the switch to Photoshop CS5 a couple of months ago and I've been impressed overall. One of the things they did was to make the HDR a little better, although I'm comparing it to CS3 so it may be the same as it was before for you CS4 users.
In the past I have used a program called Photomatix to process my HDR images. Here's an example of an HDR image from a recent wedding rendered by Photomatix:
And here's the same image with Photoshop CS5
To be fair, it's impossible to do an accurate comparison of the two programs since there is considerable tone-mapping involved on both and those settings are really left up to the user. With each I tried to render to a state where I got good exposure and contrast through the entire image without getting two "artificial" in look.
Photomatix seems to handle light smoothing better but that's not always what I want. For this image, I really wanted it to look more natural. I didn't want it to look too "processed." My intent when I took the shot was to capture a natural image, not a surreal one. Photomatix always seems to make the images look a little too "dreamy" (for lack of a better word). Photoshop seems more grounded, more rough with the contrast and color.
Photomatix is great if you are going for the traditional "hyper-real" look that most people associate with HDR because of the extensive tone-mapping tools that it comes with. Look at the sky in this example:
I finally decided on using the Photoshop CS5 version. Still, I thought that the couple were a little dark so I used the lighter of the three images I had used to make the HDR image to create a mask. Then I blended in the couple too lighten them up. I also cropped it closer and did a few more things that I do to most images that I print:
If you're wondering why I felt the need to shoot HDR at all, it's because of the time of day that we were shooting. I think it was almost noon when we finally got to shoot these formals outside the Mormon Temple in Orlando. With the light so bright and harsh, it was impossible to expose for the temple without the couple being dark. I considered putting a strobe on them but I knew that it would be at full power if it had any hope of competing with the sun. So, I grabbed my tripod and shot for HDR instead.
You can see more of my wedding photography at http://www.boorayperry.com/.
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