For no particular reason I have just run off a set of nine shots but using shutter priority rather then aperture priority.
Exposure compensation was achieved by changing aperture on each shot. Shutter speed remained constant.
Not sure what that proves!
Surely adjusting the shutter speed in A mode gives better results? If the aperture is constant then depth of field will always be the same; if aperture is adjusted depth of field could vary which might give rise to the dreaded artefacts.
Am I making sense?
100% you need to be bracketing in aperture priority and not shutter priority. On canon and Nikon in manual even the camera will adjust the shutter speed when bracketing. I'd guess your camera does too.
Lightroom 5 and photoshop is technically all you need.
I strongly advise against using ANY HDR software and particularly photoshop implementaton.
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You need to edit one of your darker bracketed shots as you want ignoring the noise and other issues. Then you just sync the settings to the other images, match brightness (by hand using eyedropper tool gets you closest) and open up as layers in photoshop. A quick layer mask and further editing gets you perfect results everytime. And best of all it does not look UGLY and repugnant like HDR.
This. HDR gets a bad name and rightly so because of tone mapping and horrendous processing algorithms.
HDR is not a bad thing though when done correctly, our eyes/brains are HDR sensors compared to our cameras...
Very quickly, for the OP. Bracketing for landscapes is something I would nearly always recommend. The reason being is even if you do not need multiple shots to blend, it ensures you have the optimum exposure to work with back at your computer. You will also learn that the file you felt was overexposed in the field for example is actually the one to work with. It will help you gain a better understanding of what is an optimum exposure, whilst giving you a safety net.
Equally, memory is cheap and once you have captured that raw data you can always work on it in the future. Software, and your skills will always improve, so even if you don't see the need for the various exposures now, one day in the future you and the software will improve and those extra exposures may become useful. Obviously only worth keeping for decent shots.
Now, yourself and others regularly mention shooting base and plus/minus one stop. For me, if your camera meter has already underexposed the highlights at base by a stop or over, then the base shot and minus shot are a waste of time. The reason being the plus shot has the detail in the highlights still and better signal to noise ratio for the shadows.
Don't just blindly let the camera decide and add a plus/minus shot, although arguably this is better than letting the camera decide and only taking the base shot! You can either be very technical about determining the exposures required for the scene or you can use the 21st century light meter...
...which is image review with the rgb histogram enabled and the shot taken in neutral picture style. (Because the picture style affects the in camera jpeg and as such the histogram, neutral has the lowest contrast/saturation levels and as such shows a more accurate histogram).
So in practice, take your bracket of shots and make sure that in the darkest one none of the colour channels clip the right hand edge. But equally unless you always want to take loads more than you need having the tones a long way left from the right hand edge is pointless and you won't need them. A safety margin is worth building in though, once highlights are blown they are gone and detail is lost. So, either shoot one extra shot to the left of an exposed to the right shot*, or keep it a little way back from the right hand edge.
Your number/spacing of brighter shots required is then just enough to lift the shadow tones in the brightest exposure off the left hand side of the histogram so you have no blocked out blacks and you don't have to digitally push the shadows of that file.
To recap, live by your histogram. Understand it and learn what exposures you need. *If you haven't already read up in the expose to the right principle. In essence it is putting the histogram as far to the right as possible without blowing the highlights. But don't get confused, in a scene that extends your cameras dynamic range that histogram may be heavily to the left but with a blip (the bright highlights) near the right hand edge, so you have still exposed as far right as possible without blowing the highlights.
Relevant to your camera
@jpgreenwood and in practice I would shoot manual and establish my darkest exposure at the aperture I require by modifying the shutter speed and checking the histogram. So once you have found the shutter speed with the highlights saved, and while you are learning do err on the side of caution here. I would then take that shot again, and quickly but gently touching the camera increase the length of exposure by a stop, then again, then again etc depending on how much range the scene appears to have. Then I'd review that brightest exposure and make sure we are off the left hand edge of the histogram.
Easy, you now have the best possible files to work with.