There are questions on SU that are sure to be closed for a variety of reasons. Should you post an answer if you have one? I would think so its OK if you know it will get migrated to another SE site. But, what of one that violates the FAQ? Is that encouraging bad behavior, or being altruistic?
Its definitely fine if you know it gets migrated. As for against the FAQ, I usually tend to hint at an answer when I comment to why I am close voting a post. Some questions are actually interesting enough that I post an answer, then ask, and occasionally when I really KNOW I ought to comment, but it's too long, I've been guilty of posting it as a community wiki - tho I've taken to putting that rep in a pool and bountying it instead.
There's no official policy, and I think its a good thing. You're taking a calculated risk - a closed question can potentially mean lost rep should it be deleted. Trying to answer the question might also help get ideas on how to save it. On occation, halfway through the answer, you realise its an unsalvagable mess, but you learn something new.
I guess as with anything, if its an interesting enough bad question, its worth trying to answer, simply for the learning experience. Someone with a pattern of bad questions will get question banned anyway ;p
Depends on what the close reason is.
If it's borderline and/or you think it belongs on the site despite the claims, answer. But do know that it's in everyone's best interest if you spend a little time editing the question so that it falls on the very well on topic side of things.
If it's off topic or not a real question, move onto something else. Answering these is like saying it's okay to post because you'll get an answer anyway.
The same as if someone cut in line and instead of being sent to the back, are served and treated as if they were in the right place. It breeds a mindset that it's okay to not be a part of the civil community.
If it's too localised, that's either or. If you can make it not too localised, go for it.