I've found that bracketing by ±1 or ±2EV doesn't help, but bracketing by ±3EV does.
I did the following experiment:
First, I picked a high dynamic range scene, short of directly shooting the sun. Here, the sun was partially behind thin clouds, and it was uncomfortably bright to look at with the naked eye. In other words, it was much brighter than it looks in the photos below.
For these scene, I took three photos bracketed by 1EV, and did exposure fusion in Photomatix:

I then threw away the -1 and +1 EV originals, and synthesized them from the 0EV one in Lightroom. I then fused all three photos:

I don't notice any difference between them.
I repeated this experiment for ±2EV, first with bracketing:

And then without:

Again, no difference.
I then repeated the test with ±3EV, with bracketing:

And then without:

Please open the photos in separate tabs to view them at full size.
This time, there's a clear difference, both in the colors being off and, in the synthesized version, in a faint rainbow seen on the wall on the right, all the way from the top to the bottom.
The conclusion I drew from this exercise is that even for a high dynamic range scene, exposure bracketing by ±1 or ±2EV doesn't result in a better photo. All it does is waste time and add complexity, like keeping track of more photos, for no benefit. If I bracket, I'll bracket by ±3EV.
This is on the Sony NEX-5R; performance may vary on your camera.