There's HDR, and there's bloom. The two are related but HDR means so much more. HDR requires a higher-precision storage format for the framebuffer. Whether this is INT16 (very limited), MRT's (can be either limited or performance intensive), or FP16 (the ideal solution: should be the same performance as INT16 and MRT given an ideal implementation, with much better quality).
If you do bloom but not HDR, then this means that the eyes of the character through which you're viewing the game world will never adjust to his/her surroundings. For example, with good HDR, walking into a dimly-lit cave would at first appear dark, then you'd be able to make out detail, but the colors would be shifted slightly to the blue and very little color would be visible. Without HDR, the dimly-lit cave will just be hard to see anything in. You could turn the gamma way up to see something, but then you'd have horrible banding.
Hrm, then either I must have misread Anandtech, or Anandtech got it wrong. I guess it's back to the MRT rendertarget idea that we talked about earlier?
Well, MRT can always be emulated by just rendering multiple times, but the performance hit would be pretty incredible, so I'm pretty sure Valve isn't doing this.
Anyway, I was told that one could use MRT with MSAA....so who's got evidence?
The DX9 documentation (august 2005 update) clearly states you can't, but it's not necessarily a hardware limitation.
I haven't seen anything indicating that they're not just using a single 8-bit/channel rendertarget. (with an exposure scaling in every pixel-shader rendering to it and a bloom applied afterwards)