Say a team has a 1 man power play with 1 minute left, and they then draw another penalty, should they immediately give the puck to the other team for a 5-on-3 power play or pull the goalie for a 6-on-4 and a 2 minute PP when they lose the puck?
The majority of the time it is a better plan to draw the penalty then immediately get the 5 on three. This situation actually just came up one the Blackhawks vs Kings games for the Semi Finals of the Stanley Cup. One of the Hawks forwards drew a second penalty in the offensive zone. They pulled the goalie and tried the 4 on 6 for about 25 seconds but had nowhere to go with the puck. Unless an obvious opportunity presented itself, such as one of the King's defensemen was without a stick, it would have been better for them to get the 5 on 3. It gives the primary PP forwards a chance to rest, regroup, and decide how to proceed on the play and hopefully convert.