I could easily do a podcast on this but it's really simple.
All exposure compensation does is easily add exposure or reduce exposure from Program modes like aperture priority or shutter priority. Let's say camera meter exposure reads 1/125 at F8 and you took the shot and it's still dark. Rather than change film speed, aperture, or shutter speed (which may take a few extra seconds) exposure compensation does the job faster. I believe that the exposure compensation works on most cameras on the shutter speed alone (meaning it does the compensating by making the shutter speed faster or slower).
If time is not an issue, don't use it as you have better control when you decide exactly what you want. But when speed is of the essence, it's gold.
If you shoot on manual, it's fairly useless imo. But it's amazing for program modes and I use it often. Hope that helps - Marko
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