The rough rule of thumb on the PS site seems to be you should select 'Full' if your blacks are displaying too light, or 'Limited' if things are too dark.
From what I've read in places that explain things in more detail, 'Limited' is correct for video, 'Full' seems to be a different standard, used in computing.
On my set, when watching video, colours do look richer with 'Full' selected, I guess because of the stronger black level. But it's an artificial effect, as there's a loss of detail in dark areas. Turning brightness up to compensate results in an image that is inferior to standard brightness with 'Limited' selected.
I'm yet to see any set that displays 'Full' without without this 'black crush' effect.
Best thing to do would be to view a dark scene with 'Limited' selected, then view it again with 'Full' selected, and check if you lose any detail in the image.
For games and non-video output I guess 'Full' could be better though!