great photo! good drama and atmosphere - especially thanks to the dark and well defined clouds! good overall composition too with the pier stretching nicely through the frame...
This has a good solid foundation, the composition is strong and dynamic. You state this is your first attempted HDR? Was it a single frame or multiples?
Not too sure what your concerns are it looks pretty good from here, but of course you have the full resolution original to look at. If it is the sky with its blown out areas, I'd be taking the 8 bit ,jpg into Photoshop and adding a curves adjustment layer and ever so gently bring the top end of the curve downwards. They are small areas so it shouldn't give you too much trouble. I think it's a great first HDR, well done!