Like Sam, I almost never use the dodge or burn tools "straight". If I need to make those sorts of modifications to an image, 60% of the time, I'll put a 127 gray layer above the layer to be modified, put it into either overlay or soft light mode, and then paint on it using either a lighter gray (for lightening / dodging efx) or a darker gray (for darkening / burning efx).
The advantage to this approach is that it is non-destructive: It never changes the original pixel data, so if you (say) go to far with burning and want to go back, you just change to painting on the overlay or soft-light layer with a light gray. You can do this as many times as you like, whereas if you go back and forth between conventional dodging and burning, you risk posterization and other ugly efx in that area.
If I need to be really careful with an area (maybe, 20% of the time), I'll use Sam's approach or some closely related variant.
If an area is relatively unimportan and I need a quick and dirty lightening or darkening effect, (say, the remaining 20% of the ttime), I'll actually use the native dodge and burn tools, but put them into luminosity blend mode to minimize the unwanted saturation changes that was discussed in previous posts.
HTH,
Tom M