I have worked with Photomatrix, SNS-HDR, Photoshop CS5 Straight Tone mapping with actions, Nik HDR efex 1 & 2, and Oloeno.
Currently if I find I need to use a HDR software I will lead with Nik HDR efex 2. I also prefer to work with Tiff output as Bart mentioned since I can have much better control over the CA and sharpening. This is very easy to do in LR with the Nik Plugin. I have not tried the software Kevin mentions, but have looked at it in the past and will try it again. Nik for me seems to have a very good grasp in most cases of ghosting/movement of subject matter (example branches moving due to wind), very good handle on noise (blending of images without noise creation), and an excellent alignment algorithm that works very well. Sadly since Nik was sold to Google, there has not been any more innovations to this software and probably won't be. Nik via LR runs very quickly, saves the file to the catalog and then allows you to do more work on the file in LR before you export the image.
Photomatrix I have tried on and off over the years, and occasionally I like what I get from the tone mapping solution the HDR output tends to show the 3D grunge look too quickly for me. I also don't prefer the design of their interface, it's overdue for a newer look.
SNS-HDR I worked with (Pro) version over 1 year ago, and just did not seem to see output I like, or workflow. As I recall it was not a plug-in and was stand alone, (but I may have that wrong).
Oloeno was a tool I used heavily until Nik updated their software to vr 2. Again, stand alone and for a long time was not aware of color managed monitors, but that was fixed finally. By color management I refer to a NEC spectraview software generated monitor profile.
Since I started shooting the Nikon D800, I find I rarely need HDR processing any more as the range of a singe raw file at lower iso has so much room. I am also finding this to be true with the Fuji X-E1. I mainly looked at HDR software to assist in exposure blending not the grunge look, over processed look.
The nice thing about most of these tools is that they offer a good trial program so you can test several at once.