Recent high dynamic range (HDR) display devices provide significantly greater output brightness and dynamic range compared to conventional display technology. A possible concern for the extended use of HDR displays is the potential to cause visual fatigue. Furthermore, ambient illumination has a significant effect on the perception of the imagery displayed, and its impact on user preferences for brightness and contrast must be understood. In our work we examine these issues by conducting two user studies. In each study, subjects watched video content on an HDR display in several different ambient illumination environments, and were asked to adjust the brightness and black level of the display to their preference. Subjects were also given questionnaires to document their observations and subjective preferences as well as any visual fatigue they may have experienced. We found that subjects experienced minimal visual fatigue, and also found statistically significant differences in preferred display settings under different ambient lighting conditions.