Actually most important thing - MS gives you so much more than a compiler, and the whole VS/TFS stack is extremely hard to beat.
If you want speed, use the Intel compiler on an Intel CPU (not AMD!). It's not a nightmare to get it to work, in fact you just switch the compiler in options and it should work. There are some very rare cases that you might have a problem but the Intel compiler has so many options you can configure it to fix them. The optimizations it can do are great and if you work with a lot of data it's worth learning to use their optimized libraries. In terms of compile time, i don't see much difference between Intel optimized and MSVC (use an SSD drive of course). It's not so clever to develop using MSVC and then switch to Intel for the final build because you might want to take care of some perks which might come up. And yes, you can use all of the VS stuff with it as well.
No issues at all with the compile phase, the intel compiler integrates with MSVS. However, the coders have the intel compiler on separate machines due to some visual studio/intel-compiler stability issues.
It's not an issue for us, since the "perks" as you refer to them are taken care of in the final steps of the process. We have separate environments and have talented specialists working on particular areas, i.e., GPUs, performance tuners, etc..., the majority of the work is done on plain old MSVS, considering we use C#, F# and C++.
Depends on what you mean by "best", which relates mostly to what you're planning to do with the compiled code. For your execution boxes, you're probably restricted to specific hardware/OS/language choice - so there's not much to discuss. Only thing I'd take note is that GCC 4.7.2 is fast, I wouldn't pick ICC 13.0 over it. Judging from your question and the answers you're getting, I figure we're talking about the simulation boxes here. We do a lot of on-the-go mathematical modeling on our simulation boxes. And some key players on my team are very religious about their choice of platforms, so we developed our own inhouse language with an LLVM-backend. Builds with MinGW on Windows. Command line backtest. Cross-platform. Fast. Pew pew pew. R, .NET, Mono, MATLAB, C++ all fall like flies and die. This was a long while ago, then Python became a mature project and if we had to choose today, we'd avoid reinventing the wheel. Think of it as a more elaborate calculator (just instead of decimal digits or vectors, we have time series, functors and categories as first-class citizens). Why spend time declaring pragmas when most of the code is one-use, write-compile-calculate-and-discard? The point is to work cross-platform and JIT fast. If you're comparing between MSVC and ICC/ICL, then chances are your bottleneck is somewhere else, so I'd just go with MSVC.
I didn't see some of the later answers. You wrote your own language? That must have been some feat. I'd love to hear more about it, PM me if you want to talk about it.