After posting the image Angry Faun on ZBrush Central, I got a lot of questions about my render and comp workflow. This guide was written while I was using ZBrush 4 R2 and rendering with BPR Render. All compositing was done in Photoshop.
Press the texture button in Light > Background to import the image that you want as a base to create your lights from. Keep the HDRi in the texture slot so it can be used as environment reflection in materials (Fig.01).
If you are making an environment pass, make sure samples in Light > Background are about 2-3 to create a very ambient lighting. The idea is to simulate bounced light from the environments, so you don't want a very specular light (Fig.02).
Adjust the exposure etc., if you need to get a good intensity on your lighting. Don't forget to activate Use Material Curves to make sure that your diffuse and specular curves on the materials should be used while rendering. Otherwise the materials will share the same curves. You can find theses settings in Light > LightCap adjustment (Fig.03).
As you can see in Fig.04, there's a shaded pass on the bottom. The Exposure layer controls light intensity, while the Photo Filter layer gives it a slight green tint. On the top is a solid color adjustment layer with Normal as the blending mode. It is masked with an inverted version of the shadow pass from the environment light/light cap. Use Alt + click just below each of the three top layers to make them only affect the layer on the bottom of this stack and no layers further down.
The current pass can be seen in Fig.05, and the combined passes in Fig.06.
This pass was rendered with a normal light. This light is supposed to be the main light. Don't forget to save out your light cap (for later access) and then delete all lights in the light cap. The reason is that the light cap light and shadow pass should not affect your other render passes (Fig.07).