In reply to Reach>Talent:
I've use a Silva 6 jet spectra thumb compass for for running.
It's light, comfortable and easy to use, and I find it adequate for the vast majority of stuff. When running I tend to be constantly alert and aware, so typically just need something for general orientation, rough bearings and very approximate scale work (though i just tend to use my thumb/finger for the last). At a push you can follow a bearing and triangulate a location, but it all gets very rough and ready, so wouldn't be great for navigating in high consequence situations or in very blank, flat terrain. Taking some time to learn your pace on different terrain, get an eye for estimating distances at different scales, and learn to navigate confidently on contours and features are more important if you're using a stripped down compass.
If I'm out on more exploratory/serious outings, I tend to take a Silva explorer. Still pretty cheap (less than £20?) and compact, but with a proper baseplate and bezel. I never feel like I need anything more - certainly the compass is never the weak point in my navigation. They seem surprisingly robust given how cheap they are.
Post edited at 18:43