3 Ways to make photos of different exposures.
Different Aperture - Depth of field changes (unless you have a very wide-angle, but still, sharpness changes at different apertures for almost any lens)
Different ISO - If you do your Noise Reduction properly, there can be no real difference.
Different Shutter speed - can make things like leaves, branches, and waves turn out weird looking.
There's no other way to make a "real" hdr, unless you take a raw-file and process it to darker and brighter.
Using the +/- EV on-camera, it generally changes the shutter-speed (both when using Av and M modes, it keeps the Aperture and iso the same).
Meanwhile, I love it when models just sit and pose so damn still that you can get enough bracketed shots for an HDR...
Not sure I like the tone-mapping algorithm I used, there's another 9 versions with god knows how many configuration options, I'll find one I like one day...