I haven't tried it yet myself, but one would assume that the same things that make a pic grainy in standard dark shots would be a factor in a HDR shot. In this case you cannot "nail the exposure" and this introduces the noise. I may have to try this tonight and see what happens. Noise reduction software may be needed, but I think my D700 will do ok by itself. I'll post back with some results tomorrow.
Edit 1:
Tried it out tonight. Yup, as I thought as soon as one starts to futz with the exposure, one starts to introduce a lot of noise and there is nothing anyone can do about that.
Nothing special, 3 pics from a camera on a tripod and 1 stop exposure apart gave me this:
ISO 3200, 1/6th shutter speed, 24mm
Noise is not an issue basically anywhere except the night sky (without noise reduction software at all, basically SOOC). Now I was not trying for anything artsy-fartsy special, just to see the results as I had never done this before... and now know that I don't need to do it again... lol. I think there are better ways to get you that high contrast image without noise... I'll try that next just for fun.
Edit 2:
Tried a heavily post processed pic in CS3 to see if I could get better results, but it was not HDR, but a single file.
The noise is much lower, it is still "cartoon-ish" like HDR but it is not HDR at all as it is made from a single exposure and about 8 layers and 30 min in CS3.