fnord software has just announced a new set of ProEXR plug-ins for working with OpenEXR files in Premiere Pro, Photoshop, and After Effects. (See the announcement on the fnord blog for more information.)
OpenEXR is a file format that is used for preserving the color precision and range of high-dynamic range (HDR) imagery, such as when you are working in 32-bpc color mode in After Effects and want to output that full color range when passing the output files off to another system. OpenEXR can also include multiple channels to store the results of multiple render passes from a 3D application, so programs like After Effects and Photoshop can access them.
fnord provides very good instructions in a PDF document for the use of these plug-ins. Be sure to use this documentation, since following instructions is crucial for correct use of this software.
After Effects CS4 and later includes the basic ProEXR plug-ins: OpenEXR importer, IDentifier, and EXtractoR. After Effects CS5.5 and After Effects CS6 include version 1.5 of these plug-ins. Version 1.7 of these plug-ins for After Effects are currently available are free. The primary improvement for After Effects users in v1.7 is that the performance of reading OpenEXR files is much improved.
Writing out multi-channel OpenEXR files from After Effects requires the purchase of the non-free ProEXR plug-in bundle.
See this page in After Effects Help for information about ProEXR plug-ins and OpenEXR files in After Effects.