Visual Missed Approach Procedure

[LimaFoxTango]

There's a big discussion I had recently with a few pilots. So your on an IFR flight plan and was cleared for a visual approach at an airport. Subsequently, you initiate a missed approach for whatever reason. The big question was, what altitude do you climb to? Some say MSA, some say 1500ft AGL. My question is, what is the correct procedure? What does ATC expect? Any PANS-OPS, FAA or JAA documents speak to this?

Thanks....