Many tone mappers have difficulty processing their HDR with out having a pesky halo pop up in their image. I posted a similar post like this in flickr, but I thought I would post it here as well. Since most people use PhotomatixI will speak specifically to that type of tone mapping software.
To remove halos in Photomatixyou can do the following:
Move the "Strength" slidder to the left (this will have the biggest impact)
Move the "Light Smoothing" slidder to the right
Move the "Highlights Smoothing" slidder to the right
If you look carefully at your photos you will see that the halos will only appear along edges that have a high contrast, such as a horizon or a building patruding into a bright sky. When the bright area of the scene meets the dark areas of the scene, the tonemapping software tries to blend it smoothly, and it creates the halo. Many people find it unappealing because it is not a natural effect that is seen in traditional phtography.


In the above photo you will notice the halo is noticeable around the edges of the windows. This is because the bright exterior is meeting the much darker wall. If you look at the pink wing of the plane against the floor on the room you will see that their is no halo. This is because the foreground is about the same brightness as the background.
This is simply something to keep in mind when tone mapping your photos. Don't forget that HDR is an art form so tone map you images in any way you wish.