Follow the missed approach for the approach you have been cleared or in the case of a visual approach follow that from the ATIS broadcast.
If the ATIS says expect an ILS, then follow the missed approach of the ILS procedure. You'd paint yourself into a corner if your missed approach procedure used aids which were not available.
A visual circuit would be a bad idea because you may have been given the visual to expedite heavy landing traffic.
Do you have a specific airport in mind?