great question
i guess it really depends on the query

so the CompiledQuery.Compile method will take the underlying expression tree and evaluate it down to code
this helps the execution time of the query since it doesn't have to be evaluated prior to execution

it does this at the time the method is "jit-ted" so you really only gain the performance after the first time the method is called (since the expression tree has to be evaluated first, of course)

so back to my original point...
if you have expressions that don't change (except for the values in your conditional statements) then it might be a candidate for "compiling" the query
e.g. in the example it has Func<Northwind, string, IQueryable<Customer>> so the only things that can change are the reference to the Northwind data context and the string parameter

if your expression changes the conditionals or adds joins etc... then clearly you can't compile it

the next thing to look for is if the query is called enough times to make it worth your while
if the query isn't called that frequently then it might not be worth it

hope that helps