HDR is interesting, it does open up a can of worms some tasty and some down right nasty. If you are looking for a one botton fix here is my HDR make me an artist, then i think you will be very disappointed.
there have been some really interesting articles here on Lu-La from some people who are much more talented then I am, so I would advise you to look over them a few times. You will need to buggle down and do the hard work.
Getting good HDR or a good expanded dynamic range in your images, as you eye would see it, is a multi-layered approach where you will be masking to your hearts content to enclude or exclude parts from different layers. I don;t think there is a single recipe for this.
As you have already found out, each of the programs gives you a trade off, something you are happy about and some you are not, finding the balance may require the use of several programs to finally be assampled in PS.
but all that said, we are in for some interesting times, we are all still learning what all this HDR can do for our photography. I personally find it essential for shooting Panoramas - but its no free lunch!!!
best of luck
Henrik