Here's my 2 cents worth:
ND grads have the advantage of only needing a single exposure, but are useless where the border between the bright and dark areas of the composition does not follow a straight line, like any landscape involving mountains, buildings, or trees. Such compositions will have elements that appear unnaturally dark or light because they are on the wrong side of the grad border, which tends to defeat the purpose of the grad in the first place.
HDR has issues when there are moving elements in the composition along the border between the bright and dark areas of the composition, but movement that does not cross the border is not a problem. Because of this, HDR is useful in many more situations than one might otherwise think possible.
When using HDR blending, it is important to use a sturdy tripod, mirror lockup, IS, etc., and vary only the shutter speed between exposures. Focus must not change between exposures, either. Changing aperture or focus settings will cause all kinds of problems when trying to register the images. Even with the best technique, it is still common for images to be misaligned by a pixel or two. Good HDR blending software will allow manual alignment of the images, or do a good job of automatically correcting small registration errors.
I blend manually in Photoshop, and upsize in ACR so that I can correct alignment errors with sub-pixel precision (relative to the original pixel dimensions of the image, that is). After getting the blend I want, I flatten the layers, resize back to the original pixel dimensions, and crop as necessary to clean up the edges. I have yet to encounter a real-world landscape situation that HDR can't handle. I've never bothered buying ND grads and probablyu never will.
BTW, changing aperture does not affect focal length, but changing focus does.
