Silva starter, here. Inexpensive, light, but good; can align with map and adjust for declination. It stays on a cord around my neck along with a whistle and one of those itty bitty Photon lights. The little light is my backup in case my headlamp fails; there have been a number of times I've needed it when I couldn't find my headlamp groping in the dark. At least once, my dog was sleeping on top of the headlamp!

Like W_D, most of the time I can navigate just fine without one, but we do get occasional bouts of really dense fog around here. Also, I really enjoy sitting on top of a ridge and identifying nearby peaks from a topo map, far easier with a compass, and keeps my map/compass skills up to date!