The W3C released an official response about when to use and when not to use character escapes which you can find here. As they are also the group that is in charge of the HTML specification, I think it's best to follow their advice.
From the section "When to Use Escapes"
Syntax characters. There are three characters that should always appear in content as escapes, so that they do not interact with the syntax of the markup. These are part of the language for all documents based on XML and for HTML.
<
(<)
>
(>)
&
(&)
They also mention using characters that might not be supported in the current encoding.
From the section "When Not to Use Escapes"
It is almost always preferable to use an encoding that allows you to represent characters in their normal form, rather than using character entity references or NCRs.
Using escapes can make it difficult to read and maintain source code, and can also significantly increase file size.