Acoustic guitar, clean electric guitar, I compress, of course the amount and how I set it up depends on the tune it's going into. Distorted, crunchy electric guitar I don't compress (hell, it's already a square wave, why squish it any more).
Nylon string, classical guitar I don't usually compress as I want to keep as much of the dynamic range of the instrument as possible, there again, it would depend on the context of the tune it's going into.