yup, for HDR, I usually shoot RAW, then manually pre-process the RAW images... then use the semi-automatic HDR tool in photoshop CS3
AFAIK it will take advantage of the full luminosity range present in the RAW files when generating the HDR composite.
a little background for the confused:
LCD monitors can only display 8 bits/channel
JPEG is 8 bits/channel
RAW is 10-14 bits/channel (depending on the camera)
for HDR, photoshop generates a 32-bit/channel composite
our eyes can see "infinite" bits/channel
the last part, and the part that affects the outcome the most, is converting your image from 32-bit/channel to 8-bit/channel. this is when you choose which parts of the image get which luminosity gradients... basically letting you carefully choose the exposure for each part of the image.
anyway, I'll reiterate the use of RAW files in all this: you are capturing 10-14 bit/channel images instead of 8 bit/channel... then combining them to create one 32 bit/channel image. you don't want to discard any information until you are done processing... so shoot in RAW, and dont down-convert to JPEG until you are done combining everything