Sometimes manufacturers intentionally leave out features in some cameras to make customers buy a more expensive camera with the desired features. For example, the Nikon D3000 series DSLRs don't have autoexposure bracketing and don't support high speed flash sync. The Nikon D5000 series DSLRs do have autoexposure bracketing, but don't support high speed sync. You'd have to buy a D7000 series DSLR to get both of those features. By the way, with Canon, even their cheapest DSLRs can do autoexposure bracketing and high speed sync.
Although many modern cameras have built in HDR, I don't like to use it because:
1. It can make some colors, especially skin colors, look weird and artificial.
2. Since it merges 3 images, if the subject moves, that can make the subject look weird.
3. It takes several seconds for the camera to finish processing the HDR file, so it makes the camera inoperable for several seconds.
I'd rather process HDR images later in Lightroom.
Also, when I'm taking pictures while traveling, I usually don't have much time to stop and fiddle with the camera since my travel companions get impatient if I take too long. Also, I don't want to spend too much time in the hotel room adjusting pictures. I'd rather just take a quick 3 shot burst with autoexposure bracketing, and then choose 1 out of the 3 pictures for sharing and backing up.