I'm pretty new to HDR myself, and don't do a lot of it, but one of the things I've found is that a single tone mapping often doesn't work well for all areas of an image. For instance, you may process the HDR image one way that works very well for the sky, but it just doesn't work for land or water. This really isn't unique to HDR, of course. I use layers and masks for probably all of my landscape photos (among other types of photography).
As mentioned, Photoshop is going to be probably your best resource for using layers and masks. Unless they've added it to the more recent versions, Photoshop Elements allows you to use layers, but not masks (there are some techniques for simulating masks, but it's not quite the same). The layers are used to either apply adjustments (like contrast, levels, brightness, etc.) to all or certain parts of the image or to blend additional exposures or tone mapped renditions in the case of HDR. Masks can be used along with the layers to apply the adjustments to only the areas of the image you want.