Override CompareTo: What to do with null case?

Yes, there is a best practice. Contrary to what the other answers are saying, there is an expected standard, not just a most popular behavior.

The correct answer is given in the MSDN documentation for IComparable<T>.CompareTo and IComparable.CompareTo:

By definition, any object compares greater than null, and two null
references compare equal to each other.

(Contractually, comparing greater is defined as: if a > b then a.CompareTo(b) > 0.)

This expected behavior is also borne out for example in Nullable.Compare<T>. Null always compares as less than a value.

It’s also worth noting that for the non-generic compare, mismatching types should not be treated as null:

The parameter, obj, must be the same type as the class or value type
that implements this interface; otherwise, an ArgumentException is
thrown.

This doesn’t impact your question, but be aware, Nullable<T> comparison operators (==, !=, <, <=, >, >=) do not follow the IComparable convention.

When you perform comparisons with nullable types, if the value of one
of the nullable types is null and the other is not, all comparisons
evaluate to false except for != (not equal). It is important not to
assume that because a particular comparison returns false, the
opposite case returns true. In the following example, 10 is not
greater than, less than, nor equal to null. Only num1 != num2
evaluates to true.

There is also the odd result that (int?)null == (int?)null evaluates to true but (int?)null <= (int?)null does not.