The bane of HDR photography is moving objects. Leaves on trees blown by the wind and people walking through the scene are two of the biggest offenders. The problem is compounded when shooting in low light, such as dusk. When shooting in low light, it is always recommended to have the camera's Long Exposure Noise Reduction turned on. After each long exposure, the camera then takes several seconds to process the image. Only after this is finished can one take the next exposure. It is great to have the noise (little pink, green and purple dots in the shadow areas) removed, but it takes twice as long to capture a bracketed series of images. This gives more time for the wind to kick up, or for people to appear in front of you.
When shooting one of my favorite places, Marina Bay here in Singapore, another kind of insidious pest appears: tour boats. However, because they are constantly moving, they do not show up in the final tone-mapped image:
The lights from the tour boats leave colorful reflections in the water, which some may consider beneficial to the overall look of the photograph. One can observe the wake of the boat in the above photo.
Although there are boats in the photograph above, they are further away, so the water pretty much has reflections from the buildings on the far side of the bay.