Brendan Bolles has a free upgrade of ProEXR which includes a variety of small fixes, and adds "a key feature that has been requested by users. Whereas the Photoshop plug-in already had a mechanism for effecting the way alpha channels were handled, we've now bumped the feature out of Easter Egg land and into legitimacy via a shiny new dialog."
Update: CS4 comes with several third-party plug-ins, including Foundry Keylight, Synthetic Aperture Color Finesse, fnord ProEXR, and Cycore FX.
Update: (Feb 2009) see the long discussion of this file format on an Adobe forum on Photoshop. Brendan recaps: "OpenEXR files use premultiplied images, while Photoshop long ago chose to use straight."