I'm still learning my Sony a57 and it has built in HDR. I know a majority of you do your own HDR in post process. How does in-camera HDR differ from post processing?
The in camera HDR is a simple and effective way to increase your dynamic range significantly. That is, really bring out shadows while also protecting highlights.
Typically, you get a "realistic" picture with increase dynamic range.
When doing it yourself in post-processing, you really can go about it in many different styles. Also in post-processing, you include tone mapping while doing the HDR merging... creating the hyper-stylized pictures that you see. The pictures often look more like paintings.
So when doing it yourself in post, there are many different ways to process the outcome. When the camera does it, it gives you a pretty simple form of increased dynamic range.