Good timing; I just came home from helping teach a map & compass class (just as one of the people in the room and in the field who could help people who were confused).
Of course, if you know how to compensate for declination in your head, you can pay a few fewer dollars and not get a compass with adjustable declination ... although it sure is nice to have that feature. Overall, though, you do have to know what the current declination is for the area where you'll be traveling/hiking/navigating, because it changes over time and most maps are outdated. An error of one degree over one mile amounts to about 100 feet, so it depends on how big your target is as to how much that matters to you. Overall, it depends on how accurate you want or need to be. If you just want to have a general idea of direction, a cheap compass is fine. If you really want accuracy, there are compasses that retail for about $25 that are perfectly good (usually no sighting mirror for that price, though).
Anyhoo, I just have compass on the brain right now, so I couldn't resist babbling about it.
Oh, P.S. Somebody mentioned that compasses should always "point to north" and not jump around in the store. Couple of comments on that: There may be a lot of magnetic interference in a store, so you do have to take that into account if the needle is "jumping." Also, compasses don't point to magnetic north, except in a small number of areas. Instead, they point wherever the magnetic field in your area is pointing, and that magnetic field meanders around all over the place. It's one of the common misconceptions that our main instructors are always harping on us about when we say it ... so I'm just bein' annoying like they are.
