Always off on the road, wet or dry.
I've said this before...in the dry it actually comes on without the light illuminating. It really does restrict the car so much!
Plus, I've found that when it is on, and you induce a loss of traction it corrects the car, however if you are a competent driver and you know how to correct the car, you are kind of counterbalancing the correctiveness that the ESP does - which, in my experience leads to the car becoming more out of control than in the first place!
Furthermore, I've found that since the fitment of the TD's, the feel is soooooo much better, and I can really feel the grip mid-corner and on exit - which further reduces the need for the ESP, in my opinion.