To make a scenery should I use some 3d scenery software like Terragen in combination with Blender and which one for rendering the final image or should I use both software and then join the Blender images to the Terragen image in Photoshop?
Should I export/import from one to other or is there plug-ins for this? What are your opinions?
All of these can be used to make terrains:
TerryNoise
https://blenderartists.org/forum/viewtopic.php?t=38458
A.N.T.
https://blenderartists.org/forum/viewtopic.php?t=35882
Disp_Paint
https://blenderartists.org/forum/viewtopic.php?t=23739
UVImage_Displace
https://blenderartists.org/forum/viewtopic.php?t=47639
TrueDisplacement
https://blenderartists.org/forum/viewtopic.php?t=13135
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It looks like there is a Python script to use the data from Terragen. I don’t know how well it works.
Is anyone of you familiar with this InnerWorld?
http://innerworld.sourceforge.net/index.html
It runs inside Blender.
neat I have never seen this I will check it out. 
one of my 3d obsessions is to make hdri from a blender scene one of the requirements for this is a nice looking big scene this might help me.
A good question. Difficult to answer simply. Some problems you’ll face are:
Terragen’s rendering engine isn’t great (the last time I looked). No global illumination for one. Night images are very difficult. Terragen’s textures look good from a distance. On closer inspection they fall short.
Blender’s rendering engine has limited distance (for speed). If you want a full world you have scale everything very small and you’ll still have problems with clipping. Blender has no hdri lighting yet, but the rendering quality is still much better than Terragen.
YafRay has GI and hdri support. YafRay doesn’t support all the Blender texture features yet (only most of them).
So no reccomendations from me but one path might be to create the world scene in Terragen and save. Create the foreground in Blender and add the world scene as an hdri lighting solution and render in Yafray. Composite the (modified, edited) background and the YafRay rendered foreground in Gimp.
No one solution, just what works best for you.
BTW, innerworld looked very interesting but won’t run with Python 2.4 I think. All I see are 4 buttons and no mesh and nothing happens when I push the Mesh button. Oh well. They are just using Blender’s internal method’s anyway so with a little extra work you can create your own terrain manually in Blender.