As Horseflyofdoom says, it depends where the pixel is located on the screen and how much of an annoyance / how distracting it is for you. Dead pixels can vary in luminosity, and some are clearly more distracting than others.
I recently returned a brand-new LG L1730P LCD monitor because it had a bright (and I mean _really_ bright) red dead pixel in the center of the screen. LGE have a dead pixel policy of 4 dead pixels before they will replace a monitor, but they gave me a replacement anyway because of the location and brightness of the pixel. The replacement monitor I got also has a dead pixel(!), but it's much less bright and less distracting; it's a light blue pixel at the very bottom-right corner of the screen, and I can live with that.
So yeah, if it's really pissing you off, then shoot for a replacement; there's no harm in trying. There is a chance you will get a replacement even if it is not covered by standard policy if the pixel is a significant annoyance.