Depending on the capabilities of your camera, where you're shooting, and how you want the final image to look, you sometimes should consider underexposing a portrait slightly. This great video examines the benefits of underexposing a portrait and when you should think about trying it.
Coming to you from Manny Ortiz, this helpful video talks about the benefits of underexposing portraits. The idea is essentially that if you're shooting outside, the sky is often brighter than the subject, and if you expose for the subject, you'll sometimes end up blowing out the sky, and with digital sensors, there tends to be much more recovery latitude in the shadows than in the highlights. Of course, if you're shooting with strobes, you can light your subject and expose for the ambient and strobe in a way that balances the two, but if you're shooting natural light, depending on your camera's shadow recovery abilities and the difference in luminosity between the subject and the sky (if it's too big, you'll have issues boosting the exposure on your subject that much in post), you may want to consider this technique. It's certainly not something you should do all the time, and it really depends on the final look you're going for (for example, if you want that light, airy look, this isn't the way to shoot), but it can be very helpful in specific situations.