Okay, this one may be obvious to some, especially if you have more HDR experience. But, I figured I'd share it here figuring that if I've made this mistake then someone else is probably unaware of this too. So what was this mistake? It's pretty simple but if you're setting up your HDR shot using auto-bracketing then make sure to pay attention to what your Camera's meter is going to use for the base exposure. I was shooting in aperture priority mode and shooting into a light. Because of this my camera was tending to pick a very high shutter speed to start (exposing for the light). This was a great exposure as part of the bracket but should have been the highest shutter speed in the bracket, not the middle. Adding shutter speed above this wasn't bringing in any further detail. In some cases I even ran into multiple shots in the bracket being shot at 1/8000 since that's the maximum shutter speed on my D700. Obviously that defeats the purpose of the bracketing and this usually meant that I didn't have the slower shutter speeds I needed to bring in the shadow detail. What I should have done was picked a good middle exposure (either with exposure compensation or by switching into manual mode) and started my bracket there.
It happened to me so it could happen to you too, pay attention to your exposure!