Depends on the style of HDR; if you want that post-appocolyptic look vs a just a well exposed shadows and protected highlights look. Shooting ETTR will allow for the shadows to get extra exposure while using the highlight recoverability of a RAW file to protect the highlight. Each camera sensor is different, so you have to practice with your camera to see how much you can push the exposure before unrecoverable clipping occurs. Obviously, the camera’s preview will looked overexposed, so people you show it to will think you’re crazy.