In my opinion, HDR Efex leaves photomatix Pro back in the dark ages. It has a very friendly interface, and provides multiple thumbnails showing various processing options available. I know that photomatix recently introduced this feature into pro, but it isn't as comprehensive as HDR Efex.
I often found that there would a pronounced 'halo' when doing HDR using photomatix (especially when only using a single exposure). I do not get this problem using HDR Efex.
You also get to 'tweak' portions of your image using their UPoint technology which is sometimes useful if you need to boost contrast/sauturation, etc in just 1 location.
Finally, the plugin lives very well within Aperture 3 (I believe there's also a plugin available for Lightroom) which does away with having to export masters from your image library, process them in photomatix, and then import the end result back into the library. HDR Efex just saves the HDR image directly back into the library.
All in all a very nice product, and one that's well worth having.