Like you, I haven't tried any yet. I still think you can do much more with a DSLR, but the 4S is excellent in a pinch! Still, if I had to do any real HDR work, I'd probably stick to my DSLR, but the 4S is sure to please many.
Did you hear the news recently of the famous photographer who recommended the 4S as the best all around camera? I think she said "The best camera is the one you have with you", and the 4S definitely has an EXCELLENT camera!
Did you see the video comparison I posted between the Canon 5D Mark II and the iPhone 4S?? Overall, the 5D wins, but the 4S simply amazing my comparison.
I might try using the new aperture lock in iOS 5 to get some different shots and combine old-school style in Photoshop as well.
This is one of those times where I feel like a complete newbie because I was unaware of any aperture lock feature in IOS 5. In fact, I've been seeing quite a few posts since IOS 5 came out regarding various camera functions, most of which I have been completely ignorant of...
As for HDR shots, I fear that I must also use my DSLR to get that to work, but I would love it if I could get some really strong ones on the iPhone as well!