Thanks for the quick response Meta; much appreciated! So, if I understand this correctly, under AEB mode you get only the individual pictures while in HDR mode, you get a processed HDR picture. That is the only difference?
Doing your own "merging" allows you a lot of flexibility and creativity rather than allowing the camera/software to make all the decisions for you.
We always shoot AEB - 5 shot (unless there is a reason we don't want multiple exposures.. ie movement etc) and merge afterwards. During the merge you can do a lot of things to enhance the image or even get crazy and push the limits and create "Art".
I agree with BigAl. I always use AEB rather than HDR. More steps but often worth it. Sometimes one of the AEB images is better than the combined processed HDR image.