I've heard good things about the 
Silva Metro.  I wouldn't want to go off pavement with it, but it good for urban use.  For that matter, any of the major brands (Brunton, Suunto, and Silva) should produce reliable leychain compasses.  I have a Stansport knock-off of a Suunto clipper that I use when I travel (purchased after getting lost trying to return the rental car).