I usually have two compasses, the Cammenga tritium wrist compass for basic directions: Constructed with a machined aluminum casing for durability in the most demanding conditions. Easy to read 10-degree phosphorescent graduations are enhanced with Tritium Micro Lights for visibility in total darkness, maintenance free, for over ten years. Includes a heavy-duty nylon wristband.
http://www.thecompassstore.com/camwristt.html
this is in edc bag or on my wrist/neck lanyard depending on needs...this is perfect imo, for urban/suburban needs
and the traditional milspec lensatic compass in my ruck for when i absolutely f-ing have to find fence posts:
http://www.thecompassstore.com/military3h.html
this unit is the one i and my fellow land nav trainees were trained on and used to great effect to find a fence post hammered in the ground of our beloved make believe country of Pineland, day or night, rains or sun....
this thing simply works, and sine i trust it, is what i carry and use.....
with this compass, we could find said post using terrain association, pace count and a good topo map, from many clicks away...
that phase of training was perhaps some of the best i received, and use it quite often when traipsing about the mountains of western north carolina stalking trout....
both are expensive pieces of kit, but proven under the most extreme conditions....
find what is affordable, quality and works for you and get out and practice....