You should always follow the RA... to do otherwise could kill you (Uberlingen
)
Are you sure? I have put this question to an ATPL friend and he says not if the warning is a nuisance warning and both pilots are visual with it. I've also seen that ITVV video on the A330 and the crew get an RA, but because they're on final approach and are visual with him - they continue and ignore it.
I'm not currently a pilot, but I should be doing my PPL very shortly (in the Summer) and whilst this doesn't directly affect me yet - I intend to go on an do an ATPL and so am pretty interested in this.