On top of what has already been said:
- When doing multiple conversions, manual layering in PS is one option that works well, but all the HDR options with local contrast control can also be used (Photomatix or all the Enfuse based options),
- Capture NX would do a great job at handling this thanks for control points if you shoot Nikon,
- Other raw converters doing a good job at retaining highlights are Raw Developper on Mac, and Capture One,
- Otherwise, an additional tool that can do wonders in such a case is the Photoshop highlight-Shadows tool, but the Raw conversion does of course have to be done without blowing any highlights.