How do you like to tackle nighttime scenes with lots of lights in the frame -- say, looking into Tomorrowland after dark on the bridge leading from the hub? Scenes like that see to be trickier to me, especially since the camera won't automatically bracket a longer exposure than 30 seconds. I find I often need a shot or two that is longer than half a minute ... and that I seem to need more exposures at night, in general, than at other times.
I wanted to get home and check my exifs before answering this, to make sure I wasn't completely in error. I checked the Wega2 for my Feb 2009 WDW trip, where I took a *lot* of HDR sets. In practice I have found very few scenes where 30 seconds is not enough, only eight exposures were at 30 seconds and only two of those needed more (but not much more). In no case was the exposure obviously too dark.
***Update*** I checked my exposures and shutter speeds from WDW Sep 2009 and only 4 (of over 500) were 30 seconds, again these shutter speeds were only slightly less than expected and none appear to be underexposed.
Finally, I checked shutter speeds from a time when I recall there were some *really* long exposures, bingo! The base exposure was 20 seconds, -2 was 6 seconds, + 2 was (of course) 30 seconds and was clearly not as bright as expected. The scene was pretty dark, a waterway at night with hardly any illumination. I was already at f/4.5 and ISO 200, ISO 400 would have helped.
Still, if 30 seconds won't do it we are pretty much stuck with only a few choices: wider aperture; higher ISO; bulb shutter mode. It is easy to tell if we are about to go beyond 30 seconds: if our base exposure is going to be more than 8 seconds then our standard 0, -2, +2 series will result in too long a shutter speed for the brightest exposure. If it is close I don't worry about it, if it is way beyond 30 seconds then I have to try one of the fixes. Exposures longer than 30 seconds are usually more than my patience level can deal with so I haven't tried Bulb yet.
Night scenes with light sources have a *very* wide range of brightnesses, especially if we don't want the light sources to wash out or "bloom". As with all my HDRs I look at the histograms to see if the +/- exposures have no black pixels/no white pixels.
Three exposures usually works ok but more exposures could help a lot sometimes. My camera can take 5 exposures without much trouble, more gets to be a pain so I haven't tried 7 or 9 yet. Canon really needs to offer this option in their consumer cameras, they are currently limited to three exposures and +/- 2 stops max. Of course in Manual we can take as many exposures and as wide a range as we want but what a lot of trouble!