I have an A2 hooked up via component and I have EBL turned on. I think it probably comes down to personal preference. Just make sure that if you use a calibration disc such as "Video Essentials" that you set contrast and brightness levels after you make a determination as to which direction you want to go with EBL (and then don't change the EBL setting after that).
As long as you properly calibrate your display to your player it doesn't matter one bit if the enhanced black level setting is on or off. Besides, (on the HD-A1/XA1 anyway) it only affects SD DVD playback. It has no effect at all on HD-DVD video output.