This Suunto MC-2 Compass is what I rely on to stay found in the wilderness. Suunto is the leading manufacturer of compasses, and I have found this one to be very reliable. Unlike cheaper models, this compass has a hinged cover with a very large sighting mirror, making it much easier for me to take bearings.
There is an adjustable declination arrow, a very handy ruler with measurements in miles, and a small lanyard. I attach mine to a longer lanyard, so it is easier to hold the compass with my arms full outstreched.
I’ve tried cheaper models, but I always turn to my reliable Suunto MC-2. I’d highly recommend this one, or one with very similar features, if you are serious about hiking (or any of the fun new sports like Orienteering and Geocaching!)