Personally, I haven't felt the need to, so I'm sticking with the vintage-style unit that came stock on my burgundy mist example. (A Wildwood NOS guitar, with the 9.5" radius and big frets, by the way.)
But, being a typical TGP gear hound, if someone can make a convincing case for an upgrade I'd be interested in hearing it, too.
I tried a Wilkinson bridge on my old Nocaster, with the compensated saddles. It was a bit thicker than the stock plate so it lost a bit of twang but it did sound good - a different kind of good I guess. I ended up keeping the saddles but dumping the bridge as I wanted the twang back so I put them on the original bridge.
I just kept the stock bridge on & I've been really happy with it. I've used Callaham bridges on two teles before that. The build quality is excellent and they sound great, but I haven't felt the need to put one on my Nocaster. The Callaham seemed to smooth things out a lot, I guess it lost some the raw quality that I like about teles.