AEB settings for HDR
I've found typically that the middle exposure in a 2 stop AEB needs to be a bit higher than one might want to set, to get the other two frames exposing for what they're intended. Watch your histogram with regard to the highlights in the -2 exposure, and the shadows in the +2 exposure. If those are captured correctly (put a bit of space before the shadow side of the histogram, and likewise for the highlight side), the blending should take well enough.
Otherwise, set yourself in manual mode, and change the shutter for a greater than 3 frame spread of exposures. On a sturdy tripod, with a light hand to the manipulation, it's easy enough (I just tend to avoid this for the accumulation of exposures I tend to collect anyway).