You can do it right in CS4. I do not have enough experience to be able to say if CS4's focus stacking competes with the other programs, but it seems to work quite well. Here's a closeup of an orchid created from a stack of 5 images, taken with a Nikkor 60mm macro lens on a D80.
Peter
I've found that CS4's output just isn't good enough for anything other than small web images. This shows most of the problems with it:

It has hard edges on the masks that can't be feathered because only the unmasked areas have been color blended. It modifies the image instead of a mask, so the changes can't be reversed (at least without a lot of hassle). It also can't reliably select the best focused parts of an image.
It's really too bad Adobe didn't put a little more effort into this. It's one of the reasons I upgraded to CS4 only to be disappointed in it.
p.s. I think a normal macro stack for me has over 20 images with 60 being average. CS4 may work better for landscapes than for macros.
I haven't used Helicon Focus, but everything I've seen and read about it put it and CombineZP about equal. The big difference is CombineZP is (mostly) free.
Manual blending is still the best and most accurate as far as color accuracy, but software can usually do a little better with ghosting.