Reading Complete Guide to HDR Digital Photography by Ferrell Mccollough, just something to share here :
1) Adjustments to be avoided before HDRing :
Tone (you can adjust them provided you adjust the same amount to all the photos).
2) Allowable Adjustments without negative effect on the final output :
Color Noise Reduction
3) Contrary to common thought that one can use a single RAW file to do HDR by adjusting the exposure values, you cant. Reason is the single exposure has a fixed Dynamic Range (DR), changing the exposure value in post-processing create noise-free shadows or recover lost highlights. The image is bound by the limited DR of the sensor and the only way to extend the range is through multiple images at the different shutter speed.
4) Use Manual Mode, Aperture Priority Mode together with Auto Exposure Bracketing (AEB) together with Continuous Shooting Mode or Exposure Compensation (EC) if your camera doesnt have AEB or Manual Mode.
5) Dont use Shutter Priority as it will change the Aperture Value, thus changing the Depth of Field (DOF). Dont use flash
6) Shoot with a fixed White Balance, lowest ISO for noise-free pictures & focus on the same distant (else DOF may be affected).
7) Use Tripod where possible to minimize misalignment. Else brace the camera to a structure and fix 1 or more reference point/s.