Not sure if i'm right about this but hdr was developed for motion pictures as a cheaper way of intergrating 3d into their movie scenes, because hdr holds the light information in a file you wouldn't need to setup the lights manualy thus being able to spend more time on animation and less in scene setup.

The rest of us use it to get a sharper lighting effect on our models/scenes.

Image Based Lighting (IBL) is another great way to light a scene this is were you use a picture file to light you scene, not as good as hdr but still very effective.