My opinion, FWIW which may not be much, is that there are too many unnecessary attempts at HDR. With apologies to Misrilou, I'm posting the same church in Rancho de Taos. The image is from a single exposure made with 30D. There is enough data in the image to produce detail in both the whites and the shadows.
When DR needs to be extended, I prefer Exposure Fusion with either LightRoom Enfuse or SNS-HDR. My understanding is that EF simply automates, in a very sophisticated way, the kind of blending techniques that many have been doing by hand in PS for quite some time. I find its results much more natural than HDR. EF doesn't get the attention it deserves.
About "natural". I find myself in substantial agreement with Alan. I think that shadows should not be unnaturally opened up just because we can. I generally like deep shadows as long as they are not muddy.