It really matters whether you have some huge project that takes an hour to compile, and you would like to change compilers so it only takes 30 minutes to compile, or whether you are interested in the speed of the program produced by the compiler. These preferences are in direct opposition to each other. Just to give one example, optimizing takes time, so for faster compiles, turn it off, but for a faster application, turn it on.
I see in one of your clarifications you want faster running code. Different compilers make different assumptions in their optimizing, so your best bet is to test various versions. In general, the newer the compiler the better. You can also tweak your settings - set up custom builds or makes that turn particular features on and off - and see the effect.
VC++-specific things to consider: if you use a lot of template libraries (especially std:: stuff) then VC++ 2010 is going to help you, because it supports rvalue references which enables some dramatic speedups. That's not about the compiler exactly, more about the libraries that ship with it, but I'm going to assume you're using "compiler" to mean "brand name of tools I write, compile, and link with code with". Also PGO, profile guided optimization, lets you run the app under instrumentation and then apply profile information gathered on those runs to re-optimize your code so that it performs well under your circumstances. That's been in VC++ for a number of versions now. Perhaps someone else can speak to other compilers and those two features.