HDR's have more data in them than can be displayed on your monitor (unless it is a spendy HDR monitor), so they should be processed or 'tone mapped' to display correctly. This can be for accuracy such as in PS CS3, or with a bias towards artistic use as we see in so many Photomatix processed HDRs.
HDR image: an image which contains extended range
Tonemapped image: a form of dynamic range compression applied to an image based on the surrounding pixels, often applied to a HDR image but not necessarily, so that it may be displayed on a normal screen, printed, or just purely for creative indulgence.
All HDR images posted on this forum are tonemapped. All tonemapped images on this forum are NOT necessarily HDR (and I make it a personal mission to slap anyone I meet face to face who calls a single exposure tonemapped image a HDR)
Photomatix and photoshop both have HDR viewers built in. With photoshop you have to preset the display gamma of a 32bit image to your tastes, whereas Photomatix's viewer auto adjusts the gamma level based on the brightness of the current segment of the image your looking at (the viewer is that small windows which tracks the mouse)