There is one example I recall reading in an article of a game on the classic map. Midway through the game, the player holding Australia deadbeated out of the game, turning all his troops, including the 20+ stack defending Australia into neutrals. However, later in the game, one player who had not secured any bonuses and was wandering around Asia got greedy. He conquered Australia, and may have thought he was in good shape with only 1 border to defend, but he had not taken into account Australia had been effectively turned into a worthless territory. The amount of time it would have taken a mere +2 bonus to replenish the numbers he lost taking it was too great, and he had already lost too much momentum in a gamestate where the other players now all had that many more troops to use against him. He was the first to be eliminated through conquest, and the other players fell soon after because of this mistake.
So, my question for you is how do you decide when it's "worth it?" When you look at a bonus you want, and consider the cost of obtaining it, what things do you consider, and how do you draw the line?