A few thoughts on this thread:
If your camera has one, always use an RGB histogram when shooting ETTR, to avoid clipping individual channels. You will also need to set a manual white balance such that equal RAW values result in equal RGB values when your camera generates the internal JPEG conversion used to generate the histogram. With Canon DSLRs, the daylight WB preset is pretty close, other brands and models will likely vary. This is critical when shooting in situations with lighting that differs significantly from daylight. Gelled incandescent stage lighting will fool you into blowing the red channel severely if you use auto WB, and shooting before dawn and after sunset will often blow the blue channel.
The whole point of ETTR is to maximize the dynamic range of the scene that is captured by the sensor, which will result in the greatest S/N ratio in the captured image data. With a high-DR sensor and a low-DR subject, you have some fudge room to work with, but even in such cases, if you do not practice ETTR you are still compromising your image to some extent. Whether this compromise materially affects the final print will vary greatly from image to image depending on many factors, but I see no reason not to strive for the ideal exposure (non-specular highlights within 1/2 stop of clipping, but not clipped) that will allow the greatest flexibility in post-processing and printing.
We don't shoot JPEGs for most serious work, even though JPEGs are "good enough" in most cases; we shoot RAW to take advantage of the increased control and processing flexibility advantages the RAW format offers over JPEG. Few would argue that shooting RAW constitutes a license to "shoot sloppy" even though RAW files tend to be far more salvageable when Murphy's Law strikes. In the same way, properly applying ETTR gives one a margin of flexibility that may not be absolutely needed all the time, but sometimes can really save one's backside, especially when shooting difficult high-DR subjects. There are times one can get away with being sloppy and deviate from the ideal without negatively affecting the final print enough to be noticed, but that's no excuse to be deliberately sloppy about exposure, or any other part of our work.
Canon 1-series cameras can shoot at least 7 auto-bracketed frames 3 stops apart. Consult the manual regarding Personal Function 8 to set this up. I have my 1Ds and 1D-MkII set for 5-frame brackets when PFn 8 is on. For DR blending, 5 frames shot at 1-2 stop intervals is sufficient for just about any real-world subject.