Do I need both Photoshop and Lightroom to work with Photomatix Pro to create great HDR images?

No. You don't need Photoshop or Lightroom at all to create an HDR if you have Photomatix. Photomatix works entirely on it's own. All you need is a set of exposure bracketed images.

If you have Adobe Photoshop, then you don't need Photomatix to make HDR, since Photoshop can do HDR itself too.

Photomatix Pro is capable of producing great HDR by itself if you know how to use it (ie don't ramp the sliders up to max all the time!!).

Photoshop can also do HDR without the need for Photomatix Pro.

Lightroom is a more limited editing program - it is mainly using as a cataloguing/indexing program for images.

As far as I know, both Photoshop and Lightroom can work on most types of files, and you can export from Photomatix as a TIFF file. So either Photoshop or Lightroom will be fine. You shouldn't need both.

Tone mapping is a factor of the HDR technique to enable the image to be properly displayed on LDR displays (it somewhat is what laptop video reveal gadgets are). in case you prefer to shop it as an intermediate degree, earlier tome mapping, then .tiff could be high-quality, that's a lossless format that must be displayable by making use of different application.