What kind of tonemapper are you using? Are you using a decent adaptive exposure system?
HDR isn't just some plug-and-play technique, you need to design your lighting pipeline around it to make it work properly.
Indeed, we noticed this shortly after adding it to the project! It changes all my settings when I enable the HDR since sun and sky and even ground lighting has to be modified to correct for it. We are using the system that MJP suggested for tonemapping, although our knowledge on the subject is limited compared to his we figured it would be best to try and mimic it. I think the name is called Reinhart? We do have auto exposure system... although as to how well it is working cant really be decided at this point since everything is just ultra dark!
Probably your sky texture is a low-dynamic-range texture ranging from 0.0 - 1.0 and your HDR values are some magnitude bigger. So, you may multiply your sky color by some value which makes it look nice. Also, you may make your sky texture a HDR texture too, and using some clever encoding it may not take more space than a regular texture.
Well, you are correct to some degree, although we do not have a sky texture. We are using code to create the colors, but we are noticing the same thing... the sky light in hdr is like 12 but with the tone mapping applies we are getting .42 or something... obviously very different numbers.
and to better understand I have attached some pictures!
BEFORE TONEMAPPING and AUTO EXPOSURE ( So just HDR ):
AFTER TONEMAPPING AND AUTO EXPOSURE: