It depends how you want to use your camera, you can expose for effect or you can expose to maximise the most data, ETTR (Expose to the right) is the latter, it's a function of the A/D converter, there is more bit depth at the right hand side of the histogram than there is at the left hand (dark) side. Under exposing by one stop is the former.
I tend to bracket a lot as it's so easy with all Pentax models and card space and disc space is cheap, then I can get shots like this
Taken at Beamish in bright, contrasty sunlight.
If you want results out of the camera, then expose for effect, but you will limit the collected data, if your willing to do some post processing then expose for maximum data (i.e. ETTR), bracketing and ETTR gives me the above, but you have to work on it, so it's not for everybody.
In either case shoot Raw which (I think) rules out selecting expanded highlights or shadows as that only works on the Raw to Jpeg conversion in the camera, please correct me if I'm wrong.
Chris