Silva, Brunton, Suunto all make good compasses.
Most of the models mentioned by other posters are perfectly adequate. The above makers are the Ruger, Colt, S&W revolvers of mainstream compass design. Hard to go wrong with any model. The trick is deciding just what you expect to get out of a given model. Things to consider:
1. A small button or clip compass on your person is more useful than a larger $80 professional orienteering model left at home.
2. Buy two compasses (e.g., a nice pocket model with declination screw, mirror, and sights backed up by a smaller wrist or button model).
3. I second the motion for a wrist compass worn at all times. I've used Silva or Sunnto models since early 1980s in all weather and all over the planet. They are pretty bombproof except for the cheap nylon velcro straps which wear out after a few years...
4. I have owned both "analog" compasses (with a magnetic needle) and various versions of electronic compasses (usually built into digital watches). The battery powered gizmos are cool toys but aren't in the same reliability/accuracy league of traditional compasses (although usually costing more).
5. Cabelas & REI are both on-line sellers of reliable compasses (as well as every other kind of outdoor equipment under the sun).
6. Larger models (like the Silva Ranger) are top of the line but most of the Big 3 firms sell smaller versions which are more friendly for pocket carry. Think full size 1911 vs Officers' Model.
7. If you start shopping for a nice compass you are bound to notice the very nice GPS units in the adjacent display case. Get the compass first. Then treat yourself to a GPS if you still feel the urge.
8. You should be able to buy both a good wrist compass and small folding model (like the one pictured in Boats' post) for $35-$50 total.
9. If you ever anticipate real SHTF, TEOTWAWKI, or just plain extreme wilderness hiking... you might need to consider the need to move at night. For this you should purchase a MILSPEC Tritium Lensatic Compass. About $80-$90 from places like Brigade Quartermaster or U.S. Cavalry on-line. Do not waste money on the cheaper non-Tritium knock-offs. You would be better off spending the $ on a good Silva Ranger. The self-illuminating military compass allows you to navigate on the move without having to break out a flashlight or headlamp. For clandestine night navigation there is no substitute for the Tritium models...(avoiding the "T"-word
)