I like having a small, simple compass for coarse direction finding. I have found the
Suunto Clipper (luminous) watchband compass to be pretty good. I have tried the no-name watchband compasses and they always fell apart.
The Clipper's mounting plate is open on 1 side. In my experience this invited the compass to get pulled off my watchband. I used a little JB Weld to close that side of the plate and it has been secure for over 2 years of daily wear in both urban and bushwacking environments.
...I can whip out my iPhone and not only use its compass but have the map oriented in the direction I'm facing. This is very handy. I just make sure that I don't lose my situational awareness and to have some ne'er-do-well snatch it from me or worse.
A distinct advantage of a simple watchband compass is that you can casually glance at your wrist to read it. You don't have to take out your phone or keychain. People who see you think you're just looking at your watch. When standing or seated with your watch arm relaxed casually in front of you, you can check the compass by just glancing downward.
I love the idea of the digital watches from Suunto and Casio that have electronic compasses in them. But my research has shown that those puppies are expensive; the Clipper costs about $12. Besides, the Casio literature says their compass accuracy is spec'ed at only +/- 11 degrees, and I just need a general sense of the cardinal directions anyway.