I use Adobe Photoshop. My workflow starts and ends in Lightroom, Photoshop is only a step within that workflow.
I start with raw files. I think it's possible to do it with jpeg files, but I've never tried it.
In Lightroom, set the white balance as desired and sync the change to the different exposures. Then, with all files for the blend selected, either right click on one of the photos or open the Photo menu, then go to Edit In -> Merge to HDR Pro in Photoshop...
When the HDR Pro dialog appears, in Mode select 32-bit. Remove ghosts if needed (if there were moving elements in any of the exposures), and you're basically done in Photoshop. You can choose to map the tones in Adobe Camera Raw - that's a great option to select if you want to continue working on the image in Photoshop after the Camera Raw edits, but I simply uncheck that box, then click OK. When the image is shown in Photoshop, all I do is save and close. It's then imported into Lightroom automatically, right next to the original files, waiting to be edited. I do that instead of toning in ACR itself, because I want to keep a non-destructive workflow.
When the 32-bit HDR image is in Lightroom, I treat it like any raw file.
If you don't already have Photoshop, this may not be that good a reason to purchase it. You can get the nifty "Merge to 32-bit HDR" plug-in for Lightroom from HDRsoft, the makers of Photomatix Pro, for just $29.
And if you already have Photoshop, but don't have Lightroom, you can still take advantage of Photoshop's HDR Pro function with 32-bit mode. This tutorial should help: