I don't recommend that you use Auto ISO if you shoot different exposure brackets for HDR.
I was shooting some HDR this week in A mode, and forgot to check my ISO setting. I normally leave Auto ISO turned off and ISO at 100 for HDR, but somehow auto ISO gets turned on by accident sometimes. This week it got turned on, and the results were pretty bad. I did not have my maximum ISO set low, and the camera went nuts on long exposures. The ISO went from 100 on my short exposures to over 4000 for my long ones.
Teach me to check every time I am switching to bracket shooting!