I have a tendency to have it on for pre-amp compression and off for post. Pre-amp compression I'm trying to compress the guitar signal a bit, and don't want the signal drop to affect input gain on the pedals and amps. Leaving it on means I don't have to worry about it. I'll use post-amp compression to control overall volume levels, so I turn it off since I don't want anything "automatically" determining what those levels are.
