I raised the issue on dpreview whether it was better to merge HDR then convert to B&W, or, to convert each of several images individually to B&W then merge. Nobody seemed to know, so I did a quick n' dirty comparison:
First, five Av shots (-2 to +2) merged out of Bridge to HDR then converted using Nik Efex...

And this one, each image opened separately, converted with Nik, then merged into HDR...

Brian