You use compression on those things which need it. It also depends on the style of music. With jazz, you will almost never need compression, at least with traditional jazz. Also, classical is another place where compression is a big time no no. However, in popular styles of music (rock, hip hop, etc.), it is not uncommon for every track to get some form of compression.
When I was at Berklee, I sat in on a master class by Eddie Kramer. He spent a whole lot of time talking about how he always tries to avoid using EQ and compression if it is at all possible. He then preceded to mic everything up (destroying an RCA 77 while he was at it, by the way), go into the control room and set levels, EQ and compress every channel. This is the guy who did Jimi Hendrix, and a whole lot of others. He is as good of an engineer as there is anywhere in the world. I think if it is good enough for him, it is good enough for me.
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"Cowards can never be moral."
M.K. Gandhi