A lot of misinformation going around about HDR. But Bob Fisher has got it right.
First thing is to think of yourself as collecting data, which needs to be good data, data that you know how to work with.
Shoot 14-bit RAW, and capture to 16-bit TIFs using the best capture software available using the "neutral" or "linear" gamma. You want the most linear data you can get. Bracket +-2EV steps. Sometimes it is better to delay white balancing until later, but if you are shooting daylight, go ahead and white balance before capture. Do not use the built-in RAW converters in Photomatix.
In making an HDR file, you are creating a robust representation for your scene data that will withstand tremendous amounts of adjustment. All of the "shadow" data here is oversampled and quantized into fractional values using floating point. This is as robust as we can get. In general, Photomatix uses the metadata to determine relative exposure values and perform basically a "normalize and average" function, while discarding blown pixels and shadow data below a certain (option selectable) level.
Try Photomatix for making HDR and tonemapping. As Bob says, do not expect to get the results you are looking for out of Photomatix. It is just the starting point.
In doing tonemapping, play with the "strength" control for more or less natural look -- whatever your artistic vision calls for. Again, do not strive to get a final image here. Your aim is to get as clean a representation as you can get, a 16-bit TIF similar to vanilla capture from a single RAW. Take that image into photoshop and sculpt it to your taste with curves, and local contrast enhancements. This 16-bit TIF will withstand a lot of processing without falling apart. With a little practice, you will find the right compromise and produce the output with Photomatix that is most amenable to your style of post-processing.
