I love the idea behind HDR technology. It’s something that used to be impossible with photography, and I think it has great potential for making pictures look more like what we see with our eyes than ever before. But I dislike unnatural HDR processing. It’s certainly art, but it’s not photography.
How to know what is natural and what is not is a fine line. Different people have different opinions. But when I want to keep things natural looking when I’m pulling out detail in the dark and bright areas of a picture, I must maintain a natural hierarchy of luminosity values. Thoughout the entire image, the darkest shadows must always stay darkest; the brightest highlights must always stay the brightest. Every element in the shot that is in shadow must never be as bright as the elements that are in sunlight. As soon as shadows reach the same brightness value as highlights in any part of the spectrum, it becomes unnatural looking.
Just try to remember what you saw when you took the shot. You’re eye picked up a whole lot more than your camera did when it comes to dynamic range.
In the shot you’ve attached, the areas of shadow are still dark enough and the sky bright enough that it doesn’t look fake to me. Lightroom purposely set up the sliders so that you couldn’t pull them too far (shadows and highlights especially) like you can in other programs like Photomatix.