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So after lugging about 10kg worth of Nikons around south-east Asia, I’ve learned a few things which nicely match up with my thinking before taking the trip.  The first and perhaps most important is that carrying all that equipment with you is worth it.  High Dynamic Range photography without a tripod is possible, but certainly not as easy and sharp as it is with one.  Cambodia and Japan forced a simple comparison: in much of Japan (especially Kyoto where I spent some time in the various temples and shrines) tripods are not allowed in the touristy locations.  In Cambodia, you can pretty much do what you like, and I think the results showed in my shooting.  Fighting with a tourist horde of incredibly noisy and rude Chinese tourists was worth it, even if I literally shoved some of them out of the way after they had wandered deliberately in front of where I had set up my tripod.
The Nikon D800 camera is very demanding, I’ve had to improve my shooting technique in order to get what I want from it.  I’ve also had to shell out some serious dollars for the lenses necessary.  The D800 is brutal to lesser quality lenses.  I used a tripod and wireless trigger wherever possible, which in turn increased the number of shots that I kept.  The sad thing about travelling to exotic locations is that you can’t be in every location at dawn or dusk, so it means that you’ll be taking some shots at some very awkward times.  Japan is particularly nasty, the quality of the light at mid-day and early afternoon is quite harsh and unforgiving.  HDR allowed me to extract every once of colour that I could out of some very difficult shooting conditions.  I used to shoot with an F100 and Velvia 50 and it is only with the D800 and HDR that replicating that kind of amazing colour and sharpness has become possible.  Yes, I am consigning at least 15 years of digital cameras to the scrap-heap with that statement.  I have never been satisfied until now.
Compare these two shots taken at Kinkaku-ji temple in Kyoto.  One of them is HDR, one of them is taken at the “correct” exposure in very harsh lighting.  I know which one I like better, it reflects that one moment when the sun came out and the lighting was perfect, only I didn’t have to wait for that.  HDR doesn’t have to be that incredibly fake looking Hollywood colour which is abused by so many “photographers.”  In my opinion, this shot reflects what I wanted to take from this scene.  I am anti-Photoshop, so aside from processing the NEF file in Aperture for film type and HDR combining the various exposures, I don’t touch the actual scene.  By using RAW I have the luxury of choosing the type of film I want to represent after I take the shot.  For someone used to having either Fuji Velvia or Provia and hoping the weather will co-operate, this widens shooting parameters considerably.  A few considerations for HDR:
1) You need a relatively static scene with as little movement as possible.
2) You need a portable HD to store your RAWs.  My Macbook Pro’s 512GB HD filled up very quickly.
3) Using a tripod reduces the chances of halos and auras considerably.  You may have to be prepared to magic brush those annoyances out of your picture, particularly if you are like me and like to shoot straight into the sun.
4) Use a wireless trigger or manual release to reduce movement even further if your trigger technique is sloppy.
5) 5 separate exposures is good, more is overkill.  You can frequently get away with 3 shot at +1, 0, and -1 exposures, but having -2 and +2 helps a lot.  As any experienced photographer knows, underexposing helps bring out colour enormously.  With HDR, you can ignore the previous limitations of film and not worry about your photos being too dark.
6) Not every situation is an HDR situation.  Sometimes what you deliberately leave out or underexpose makes for a stronger picture, so don’t let the possibilities of HDR make you ignore that fact.