It depends. Different vfx studios do things slightly differently.
On one film which had CG cars on photographed background plates I used a combination of static and moving fisheye panoramas along with reflection cards with reference photography and the plate projected onto them.
The static fisheye panoramas were shot as regular HDR images. The moving fisheye panoramas however were shot from a moving car with two motion picture cameras - one facing forward, the other facing backwards. They were shot on film and exposed the same as the hero shot (so they had the same dynamics range) - I unwrapped both fisheyes into a spherical format and composited them together, blending and blurring the stretching to cover up the missing coverage (from the sides mainly) in the panorama. Once the hero shot was matchmoved I constrained my environment light to the matchmoved camera.
I then projected parts of the plate onto reflection cards (could have done this onto lowres geo, but reflection cards rendered quicker). For other shots with passing cars, I projected reference photos of the cars onto cards which I then animated going past the CG cars.
One thing I haven’t gotten around to trying is using photogrammetry to create HDR geo (then rendered to a pointcloud/brickmap) for environment lighting.
This paper talks about how ILM handle physical lighting and shading - it also covers how they shoot light probes and HDRs on set - most of what they do is fairly standard practice across the industry.
http://renderwonk.com/publications/s2010-shading-course/snow/sigg2010_physhadcourse_ILM.pdf