Robert,
Since I got this started, I will try to elaborate. However, its clear to me that some of the other posters here probably in fact know more about HDR than I do, so I hope there will be other contributions.
I don't know for a fact just what formula any of the HDR programs uses to compute the HDR value for a pixel. I've not seen any of them published. I do know the formula differs from program to program. For example, PhotoAcute claims that their formula is better than others and that you should use their program for "Step 1". I can imagine some basic things about any such formula however. First, you would have to decide on an exposure weighting to apply to each shot. This can be done by looking at metadata, or it can also be done by looking the variance across the shots between the values for a single pixel and taking some sort of average of that variance. For example, Photomatix used to use metadata, but now they seem to use the latter. Then, when you have an exposure weighting for each shot, a nice simple and obvious formula would be to ignore all blown or null pixel values and just take a weighted average of the remaining values for each pixel. I suspect in real life things aren't quite so simple, and that the improvements to this simple approach are proprietary to each HDR program. One obvious complication is what to do with partially blown or partially null pixels, i.e. blown or null in some channels but not all.
Notice that there is a natural concept of "coverage" here. You can say your bracketed shots have covered a scene if your shortest exposure shot has no blown pixels and if your longest exposure shot has no null pixels. Thus there is at least one valid value for each pixel. An observation made by some HDR practitioners is that even if you have covered a scene, you get a better result by doing so with more shots rather than fewer. For example, even if -2, 0, +2 covers the scene, -2, -1, 0, +1, +2 will give you a better looking result. What is probably going on here is a lowering of noise because of the averaging of more values.
Don't get frustrated over HDR if you are using CS4. Nobody seems to think it is a serious tool.
--Milt--