Advice on caching

I'm using panels everywhere now and have some questions around caching. If I turn on page caching for anonymous users in core, what exactly is being included in that for panels everywhere layout? For example, the page content pane in my site template, is that even affected by caching switched on in core settings or would i need to set panel level caching for that pane? Same goes for other panes... ie; navigation, messages, etc...
I guess I'm asking for advice on best practice to get most performance through panels everywhere but not putting too much restriction either so if i were to cache the messages pane.... would that even be a good idea?

Thanks