Above 800 ISO, you get extremely noisy images even after I dial in +1.5-2.0EV on my T2i. This is very disappointing as most of the fine shots I can see happen during early hours or near twilight.
Up to the max "native" iso on your camera, you're better off just setting the iso to the exposure you need rather than messing with the compensation. Now, you certainly want to expose to the right
, but unless you're in pretty dark conditions this usually won't be more than a stop or so, and certainly depends a whole lot on the scene.
But all other things being equal, as long as you're within the "native" iso range of your camera (not using "expansion" settings) the camera does some processing optimized for that particular gain setting. Compensation is best used to get the exposure "right" for a given iso, aperture, & shutter speed, rather than an alternative to using a higher or lower iso setting.