Thank you all for your answers. I admit I don't know very well HDR softwares, the only one that I know is Photomatix and reading other photographer's opinions I decided not to give it a try,
Allow me to offer some feedback, i'm a bit surprised you would or wouldn't do anything because someone else talks or writes about it. Of course you need to taste the pudding yourself, otherwise you will never know whether it will work for your images, situation and skill level.
... because it looks the final effect given by this software (and) similar is not a realistic one. On the other hand you can achieve this with digital blending, but it needs much more work. What do you think about it?
If this is the case, you've only seen its results from people who never came out of preset mode. Photomatix (and many others by the way are) is a special tool, so it takes time to get to know it. Once you do, it is capable of giving results ranging from bland to nuclear and anything in between. Also, it requires some knowledge how to best shoot for HDR.
Of course Lightroom works great with merging, but as it's happening in my case now with some pictures, sometimes I obtain really ugly results and I don't have too much options in order to customize them.
If Lr works for you, then obviously that is fine. When you need more control, there are roughly 3 topics you need to pay attention to:
1. image alignment --> not many tools offer this, but typically the specialized HDR tools do. Very often based on Enfuse.
2. HDR stacking --> this can be done in a number or ways, like explained aptly above. Many HDR tools offer a number of options in this area, i know Photomatix does.
3. tone mapping --> dedicated HDR tools generally offer this, but many other blending tools don't. You'd then need to do the tone mapping manually in an image editor like PS (choose your favourite). Will that give better results, quite probably, but then you'd really have to know what you're doing. This is also the step that yields the look of the image, so all "HDR" pictures look that way because people either wanted it, or didn't take enough care during tone mapping.
I've learned over the years with Photomatix that very small differences in the slider values during tone mapping make a huge difference. Also, the way you shoot your pictures, rather the bracketing and exposure evenness, is of equal importance.
YMMV.