When comparing specific seasons, the # stats are always better than + stats. However, in progressives especially, when looking at a player's career, for instance, the + stats give you a sense of how they rank in the league for that year.
For instance, if I want to decide between Player A and Player B, I want to know their OPS# numbers as opposed to their OPS+ numbers.
However, if I'm in a progressive, and I see that a player has a .784 OPS#, I have no idea where that ranks in the league. In this case, everyone is coming from the same league (actually two leagues since + stats are separate for AL and NL, but the skew is generally small), so the ordering of the # and + numbers should be the same. Thus, in this case I'll take the extra info that the + numbers give me by relating everything to league average.