In my quest to learn something new today I learned how to use Lightroom 4.1 to edit the file as a 32-bit image in Lightroom 4.1. This gives you a significant amount of latitude and the power of Lightroom. It also gives you a bit more natural looking HDR (or at least in my opinion).

To acheive this choose your files to merge to HDR Pro in Photoshop. Once in HDR pro set the mode to 32 bit. Click OK, save the file as a TIFF and open in Lightroom 4.1 to complete the editing.