The general recommendation (which still stands) is to keep exposure and white balance fixed across shots when shooting for a panorama. This is not always possible, e.g. with cell phone cameras. Hugin had photometric adjustments and other functionality to deal with exposure and white balance variations for a while. Now in the upcoming 2009.2.0 release this is all accessible through a single tick on the Stitcher tab: Blended and fused panorama.
Bruno Postle has published a tutorial about stitching auto-exposed panoramas.