Despite all these amazing shots, there are many drawbacks. First off, since the images are overlayed on top of each other, they all must be the same, or ghosting will appear during the tonemapping process, ruining the final HDR. This makes it harder to shoot objects in motion. Also, the tonemapper program (usually Photomatrix or Adobe Photoshop CS5+) must define what lights and darks to include. This process utilizes edge detection, similar to the recovery option in the CS5 RAW darkroom. This causes halos which can quickly ruin your image. Beginner HDR photographers also have the tendency to over do the tonemapping, quite frankly ruining the photo. Some of the worst photography i've seen is HDR photography. Check out a poor HDR shot.
HDR is still in development and much of the tonemapping/editing is experimental. We are likely to see advances in HDR photography as programs get more powerful. As for now, the best we can do is control our images with RAW files, edit out halos with original image overlays, apply meticulous edits, and tread carefully making sure not to over do the tonemapping.