Hi there. Welcome to the forum.
I have also played with HDR images and one thing that I have noticed with Photomatix is that it is easy to overdo the HDR. When you do you get that cloud or smokey look that you have in the sky on your pier image.
I prefer to reduce the amount of HDR I apply to the image to create a more realistic contrast, one that the eyes can see plus just a touch more.
I also try to use as fine a difference in exposure as possible, which means I end up with about +/- 0.3 per shot. I do end up with a lot of images to process though, which can be a pain. Having a camera capable of a high rate of exposures (8FPS) helps tremendously with moving objects such as waves. (Except when it's dark and long exposures are necessary.)
Try to give the software as much help as possible and it will produce a much nicer result. Here is one image I applied this principle to, just as an example of what I do with HDRs;
http://killakoala.smugmug.com/photos/26 ... 4UR-X2.jpgThe best thing to do is experiment until you are happy with a style of HDR that suits your photography. Some people prefer images that defy the principles of light while others, me included, find that simulating light conditions gives a nice look.