I think it's all been said, but as a general rule of good practice you should be capturing your images so that the exposure is either correct or a little bright. "Correct" is a little ambiguous, however, since there is some creative judgement about what looks appealing and represents the mood etc.. If you want dark and moody then you can shoot dark and moody, but don't then seek to brighten the image later. By all means do things the other way round - shoot "bright" and then darken in post if you prefer.
There are two scenarios I can think of where you may have to underexpose at capture and then brighten in post, but it's not ideal....
1. You have a scene of high dynamic range and in order to preserve important highlights you are forced to underexpose the shadows and mid tones;
2. You're shooting fast action in dim light and your lens is too slow and your camera has insufficient ISO for the available light. You can't reduce shutter speed further because of blur, but an underexposed shot is easier to salvage than a blurry one, so shoot underexposed and hope you can rescue it later.
This is a VERY extreme example, but it illustrates the difference in results when underexposing and correcting in post vs overexposing and correcting in post. One shot is at 100 ISO and was underexposed before correction. The other is at 3200 ISO and was overexposed before correction. Note that the shutter speed and aperture used were identical for both shots, as was the lighting, so the sensor received the same amount of light in each case. The ISO value was adjusted for the second shot in order to "expose to the right" and squeeze the maximum potential from the camera. Neither one has had any adjustment to noise reduction or sharpening, just an adjustment to levels/curves. Which looks better?
Who (other than me) would have thought that shooting at high ISO would yield a cleaner result than the same shot at a lower ISO? It is important to understand how these things work if you want the best results. A lot of people really don't understand ISO at all well and leave it low in the false belief that it makes for cleaner results. If that's what you're doing, and it's not for the right reasons, then perhaps it's time to change your thinking. Look closer into the merits of ETTR technique.
Of course, your "problem" might simply be that your monitor is too bright and proper exposures LOOK wrong when actually they are perfectly fine. If that's the case you need to adjust your monitor, not your exposures. Use your histogram to help you understand the truth.
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