I know that DV is compressed (5:1), and there's no way around it. But I was wondering: I always use "DV or Matrox workspace" in Premiere. But what happens if I use "Uncompressed workspace", and capture the DV footage as uncompressed AVI?
Will I notice slight improvement? or is it waste of space?

No improvement...in fact, there might be slight degradation of the image. If you capture it as a DV file...it is a simple file transfer and the image will be exactly the same. If you capture "uncompressed," slight compression occurs.

I'd only suggest the uncompressed capture if you will be integrating lots of titles and graphics. Otherwise you buy yourself nothing.

I can't think of an advantage of doing a uncompressed capture, but I use uncompressed (or "visually lossless compression" like HuffYUV) for intermediary steps in compositing. For example:

Capture as DV in Premiere,

Import footage into Serious Magic's ULTRA for keying,

Save out Uncompressed or HuffYUV,

Import back into Premiere,

Add titles, music, graphics, transitions, etc in Premiere,

Save back out DV.

This avoids the decompress/recompress step of saving back to DV in the middle of the process. I do the same going out of AE.