I've been playing with this very thing lately. Definitely check out this great blog/tutorial:
https://www.thecommonpoint.com/blog_hdriIt's for Max, but the principles are the same. I always just tossed an hdri in and cranked the exposure on the vdb up or down, but now I load it into a color correct node and use gamma and exposure to control it more finely. I also invested in some really high quality hdris:
https://www.pg-skies.net/Using the Corona sky in physical mode with the sun object is nice too. It takes a bit to get used to it, but you can do nice things with practice. Just checking Volume Effect in the sky adds some nice distant haze without setup. Check out the volumetric article on that same blog.
Of course, you can mix and match and have one hdri for light and one for visual if you set the check boxes accordingly. I tend to just keep it simple though, easier to dial in and update. I think I tend to use hdri more for exterior and sky/sun for interiors, but the needs of each shot trumps all.
Also worth a warch, even though it's a few years old:
-evan