hi Shaun, well although I personally haven't had any hands-on experience with ND grad filters I would recommend going the photomatix route for a number of reasons..

1. you don't have to carry extra filters around with you, messing about fitting and adjusting them when you could be taking shots (admittedly for a good HDR you have to take your time to bracket the exposures etc but you don't have to carry the software round)
2. grads can silhouette objects which rise above the horizon where you set the gradation, as obviously the transition will run straight and not take into consideration any objects it may darken, contrary to your wishes. hdr obviously manages to sidestep this issue
3. if you've shot in RAW and appear to have lost some of the highlights, Photomatix and other similar tonemapping software will allow you to recover some of those 'blown' highlights (up to 2 stops overexposed I think) by working on a single RAW to create a 'pseudo-hdr' image
4. it is possible to maintain a natural look with HDR, but with the potential for creating all kinds of looks with the software it's quite often tempting to have a play around.... my advice is if you do go for Photomatix and want to maintain a natural look, stick with the highest level (5) of light smoothing available, and tweak the other settings until you have it how you'd like it.

of course this is all possible in photoshop but requires (imo) a decent understanding of channel masking and layer masks, and the various blend modes needed to create a tidy result. dedicated software like Photomatix will get you there quicker and with a little care an attention, just as naturally...

Adam Edwards Photography