Following on from a tip I first saw on Bertrand Benoit's blog , I have now adopted a new method of loading my HDRi skies. Essentially you can increase the apparent strength of the sun (and therefore get stronger shadows) by changing the gamma of the loaded HDRi map.
If you use the vrayHDRi map (which I now prefer as you can adjust the rotation in degress) then it's a simple matter of changing the gamma from 1 to something lower. Through trial and error I have found 0.75 to be a good compromise. Any lower and there is a risk the sky can become too saturated and contrasty. Something between 0.75 and 1 should suit most skies.
If you use the 3dsmax bitmap loader, you change the gamma of the loaded file as follows (note that you need to enable the gamma/LUT correction in 3dsmax preferences):
Here is a quick comparison of gamma 1 and gamma 0.75. The main advantage for me is a punchier image, and that you dont need to use a 3dsmax sun in addition to the HDRi sky. All of the products I sell on 3docean have a very high dynamic range compared to most products on the market, so bear in mind you might not get such strong shadows with other HDRi skies.