Compression High generally works best.
The decision is a tradeoff between I/O time (less for compressed documents) and CPU time to do the compression.
If you have a slow I/O connection, such as network drive, it's almost always better to use Compression High.
If you have fast I/O, but a document that compresses well, it may load faster with Compression None.
I've done some testing across a number of large documents and only found a very few edge cases where Compression None was faster.
So unless you have a specific case you can verify with testing, I would recommend Compression High.