I posted this image in the Landscape and Nature section but I am also adding it to this thread as I am interested in the use of HDR for dealing with exposure problems.
In this case the "correctly exposed" version was taken at 1/400 at f/9, ISO 200 in Aperture Priority. Because the histogram showed both burned out highlights and dense shadows, two more exposures were taken at -2EV and +2EV and then combined with the "middle" exposure in HDR Efex Pro from within Lightroom.
The middle image did, indeed, have small areas of burned out highlight and, more importantly, large areas of shadow on the left-facing walls of the mill where no detail was visible. Combining the three images in HDR allowed those problems to be corrected to the extent that the left-facing walls are still clearly in shadow but some stonework detail is visible. (which is much closer to what the eye could see)