I work primarily with RAW; I use JPEGs only when I need to deliver images on the spot. Digital sensors inherently retain more detail in shadows than in highlights, blown-out highlights remain blown out. Nothing you do will bring back the detail.
Slightly underexposing brings out richer colours in my experience, and yes I do think the DR in the darker luminance range is wider. I routinely underexpose with my E-300 as well.
I'm never too bothered by noise; you always need that little bit of noise to make a picture a picture. A picture without noise lacks depth; it looks artificial, it lacks grit.
But that's just my personal take.
Perhaps I should chip in on this, because it is a common evil all photographers, learner or not, go through.
Perfect exposure is of course, perfection (that sounds dumb to even say). As a still-life photographer with a good spot meter, you meter your subject in its two extremes and you derive with a good average. As a still-life photographer with your subject in a natural background, you find the perfect backlit environment - that is, possibly metering in different times of the day, during different seasons. My lecturer once mentioned an old photographer who did that... but that man's name slips my mind now (or perhaps it was my apparent lack of taking notes).
(I personally cannot do that. I'll start feeling bad if I try to put a spot meter at someone's face...)
Anyway, no one (well, almost no one) has the time to really do that, especially for photography that doesn't warrant you the benefit of constant metering and probing about with a spot meter. As a general rule, a slight 1/3 down underexposure is ideal for most purposes on colour. If you work with tmax films, given the film's better tolerance of bad underexposure, a full stop down is almost fine. I believe this translates to digital nearly the same: a full stop underexposure in b&w is nearly fine to me.
HOWEVER - do take into account that several digital cameras in the market already compensate for overexposure by default. That is, some cameras already underexpose by 1/3 stops or so. In addition, some lenses/teleconvertors suffer bad calibration that don't match up with the body's f-stop:exposure calculation. That is a good reason why certain cameras do not perform well when set for exposure compensation.
I guess both Drakon and OlyFlyer are right.