it's best to use a tripod and remote cable release but whichever software you use eg photomatix, should have an alignment tool for handheld shots. It's a neat trick and got me hooked on DSLR's and landscapes/architecture but i'm getting a bit tired of it now. You see loads of overdone HDR shots these days and they all look a bit fake, sort of CAD-ish. I think i'll try using some filters to try getting some better landscape shots straight out of camera because it becomes tedious having to HDR every shot! Having said that it's great for:
-dramatic clouds
-bringing out detail in wood/walls/fabric
-adding contrast
-reflections
-dark, grunge style architecture
meh, i'll still use it who am i trying to kid! especially to add a bit of drama to the sky or create a spooky atmosphere..