Before I had my first Pentax camera (*istDS) I was using Panasonic FZ50 bridge camera. It's 10MP and it even has raw mode. But like you, I never got pleasing HDR with my FZ50 with using raw files and Photomatix for the HDR. Eventually, I managed to get a couple not bad results but this was after further post processing with Photoshop.
FZ50's HDR
As you can see it's not very good but I think it's more because of my lacking Photoshop skill.
Then I bought *istDS and the first HDR i tried, using JPEGs, came out a lot better and a lot more HDR-like, without having to mess with it in Photoshop.
Here's the HDR from my lowly 6MP *istDS + kit lens straight from HDR software (Photomatix):
And here what I consider my best HDR so far, taken with K-x and DA 15Ltd (Photomatix and further Photoshop post-processing)
So in my experience, you can do HDR with a pocket / bridge camera but it's much easier with a DSLR (or mirrorless).