On a serious note, the worst allergy is soy. Holy **** there's soy everywhere. I think I'd just rather get sick than torture a restaurant with a soy allergy.
I would think that would depend on just how severe the allergy is. Just getting an upset stomach and gas (or even throwing up) is one thing, but if you're gonna turn into Linda Blair from the Exorcist it might be worth giving them a heads up.