I remember reading a very intersting article in one of the big General aviation "Comic books" when I was going my initial ME rating, written by one of the well knwon gus, whos name escapes me now.
Up to that point I had read all the material the good people at Jepps and the FAA had written on dealing with Engine failures shortly after takeoff, as well as my instructor. Essentially, get it cleaned up, and climb away at Blue Line.
The author of this article stated that Comair, who started out in life operating only light twins such as the Navajo had suffered serious accidents as a consequence of Pilots loosing an engine, and tring to climb away at blue line, but due to the face that they were nearly always at MAUW and in hot conditions or high locations, had resulted in speed decaying and loss of control in flight at low levels.
Their revised policy was this:
Engine Failure from 0ft-500ft, close throttles, land straight ahead.
500-1000ft Close throttles land ahead, with turns of up to 40 deg left or right
Above 1000ft Attempt to climb away at blue line.
The reasoning was that it was far more likely to go below VMC and violently loose control at low level resulting in a large smoking hole, then to have a more then likely survivable forced landing under control.
I only did about 15 hrs Multi Engine Piston and I fly Jets now, but I often wonder still, if I had found myself in that position would I have gone with conventional wisdom or the other option. Pardon my ignorance.