So, a lot of folks try to squeeze out a final image from their HDR application of choice, with no intention of using the toned image as the starting point for further adjustments. Others try to get most of the way there in the HDR application, and make some final tweaks outside of that application. Still others insist that HDR applications are the starting point, and that image editors are really where the final image takes shape.
To each their own, for sure.
For folks new to HDR, the tendency is to plop some images into an HDR merge, twiddle the dials and save the result as a JPEG for posting - sometimes these images get criticized as overdone, etc. and the OP asks what they can do to improve the image/workflow. Often the suggestion is made (at least by me 
) that the OP can benefit from using the HDR application as a step in the process, rather than a one-stop-shop. I usually encourage using the HDR application to do the merge and a gentle tonal compression to get all of that dynamic range to fit into a 16-bit histogram ready to be massaged elsewhere, like photoshop. But I can understand that folks might not exactly understand what I am trying to encourage, so here is an example.
This image set was part of a focus stack + HDR + panorama experiment that was discussed in another thread. I shot 5 images 2EV per step with a 5DII and the 24-105. The scene itself was a rather dark room illuminated indirectly with strong afternoon backlighting making the scene outside the window super bright compared to the interior space. Focus in this particular image set was on the copper kettle.
Here is the "gentle tonal compression" following the merge to 32bit, performed in HDR Expose2:
Admittedly, this image lacks pizzazz and the overall global contrast is wrong. The whole scene looks washed out (global contrast) and the local details are covered in a haze (local contrast). Perfect place to start, actually. Note the inset histogram - it shows me that I managed to squeeze all of the meaningful tonal data into the 16bit histogram, actually leaving a little bit of room on the head and tail to give me some leeway in post - that's all that I wanted to accomplish in the HDR application, nothing more. Leave the prettying up to more suitable tools.
So, once you have this good starting point, you can pretty much use any approach you want. I chose to go with a hybrid of what I see some folks do - I opened the 16bit TIFF in ACR and did some adjustments there, followed by some final tweaks in PSCS6.
Here is the result:
Now that's better. Reestablished the global contrast and local contrast to what the scene was really like. Note the inset histogram - although you were not present in this scene, you can imagine a dark room with a bright window portal - this is more like the histogram you would expect for such a scene, given the amount of area portrayed as dark room versus the smaller area portrayed as bright window. It is often helpful to think in terms of visualizing the histogram when going through such an exercise, as it often informs the adjustments you want to make to achieve the final tonal balance.
Trying to get this result straight out of an HDR application may be easy or impossible, given the wide range of tools available; however, this approach can be used for any HDR application and can include an interim step in which the full 32bit file is compressed in PS (i.e., outside of the HDR application) for further LDR editing. Lots of choices.
So, when someone says (or at least when I say) that you might consider starting with a gentle toning and conversion to LDR for further editing outside of your favorite HDR application, this is what I mean, at least. The gently toned image does not look real nice, but it is a nice meaty set of data with which to work your magic. This concept is similar to what you may see when looking into shooting video with a Canon dSLR and using a flat, neutral or similar picture style, or a fancy custom one like the Marvels or Cinestyle ones - reduce contrast during capture and then color grade with good starting data to get the final look.
Have fun! Hope this helps.
kirk
Here is a side-by-side to help compare the two images, visually.
